Correlation: 0.80 · Cointegrated: yes
Z-score: -1.09 entry / -4.52 rolling
Half-life 1.3h · Hurst 0.93 · Hedge ratio 0.83
Pair volatility: 31.83%
Backtest: 66.67% win · Sharpe 0.57 · 0.29% return · 1.55% max drawdown
Pair Analysis: Long EWY / Short SMSN
- Roll Z-Score (1h): -4.31 (EWY is statistically cheap relative to SMSN on a short-term basis)
- Roll Z-Score (4h): 1.10 (EWY is slightly rich relative to SMSN on a medium-term basis)
- Roll Z-Score (1d): 0.30 (EWY is slightly rich relative to SMSN on a long-term basis)
- Correlation: 0.80 (1h) / 0.84 (4h) / 0.93 (1d)
- Hedge Ratio (4h): 0.803 (sizing on 4h weights)
Analysis & Remarks:
- Divergent Signals: The 1h timeframe shows a strong mean-reversion signal favoring your direction (Long EWY / Short SMSN), as EWY appears significantly oversold relative to SMSN. However, the 4h and 1d timeframes show positive z-scores, suggesting that on a longer horizon, EWY is actually slightly rich relative to SMSN.
- Sentiment: No specific sentiment data is available for these assets.
- Execution Note: Both assets are available on Hyperliquid via the
xyz deployer. Ensure you have sufficient USDC collateral, as these are xyz listings.
- Risk: The trade is currently running against the 4h/1d mean-reversion pressure. The 1h signal is the primary driver for the current entry, but the multi-timeframe divergence suggests high volatility in the spread.
EWY
SMSN