Pair is strongly diverging away from the mean. High risk of further deviation.
short spread · 5× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 2.41 |
| Z-score | 1.85 at entry |
| Correlation | 0.60 · cointegrated |
| Half-life | 2.1h |
| Hurst | 0.91 |
| Hedge ratio | 0.58 · long-term beta 0.58 |
| Beta stability | stable · current 0.97 · range 0.49–1.97 · 0 sign changes |
| Lead–lag peak corr | 0.60 |
| Pair volatility | 24.68% |
| Momentum | z-velocity +1.82 · acceleration +1.77 · vol ratio 0.36 |
Backtest
| Metric | Value |
|---|
| Win rate | 77.78% — 14W / 4L over 18 trades |
| Sharpe | 1.11 |
| Total return | +0.96% |
| Max drawdown | 1.48% |
GMT
APE