Correlation: 0.68 · Cointegrated: yes
Z-score: -0.73 entry / -1.83 rolling
Half-life 0.5h · Hurst 0.96 · Hedge ratio 0.67
Pair volatility: 40.26%
Backtest: 87.88% win · Sharpe 6.72 · 3.77% return · 0.50% max drawdown
Pair Analysis: EWY / KR200
Statistical Snapshot
- 1h Roll Z-Score: -4.25 (Snapshot age: 1.3h)
- 4h Roll Z-Score: 1.58 (Snapshot age: 5.3h)
- 1d Roll Z-Score: 0.10 (Snapshot age: 1.4d)
- Correlation (4h): 0.86
- Half-Life (4h): 9h (~0.4d)
Analysis
- Mean Reversion Signal: The 1h Roll Z-Score of -4.25 indicates a significant statistical divergence where EWY is currently "cheap" relative to KR200 on a short-term basis. This supports your directional intent (Long EWY / Short KR200) as a mean-reversion play.
- Timeframe Divergence: Note that the 4h and 1d z-scores are positive (1.58 and 0.10, respectively), suggesting that on longer timeframes, the pair is closer to or slightly above its mean. The 1h signal is the most aggressive, capturing a sharp intraday dislocation.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Execution Note: Both assets are available on Hyperliquid via the
xyz deployer (USDC collateral). Ensure you have sufficient USDC margin to cover both legs.
EWY
KR200