Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -1.29 entry / -1.59 rolling
Half-life 0.6h · Hurst 0.91 · Hedge ratio 0.85
Pair volatility: 43.12%
Backtest: 80.77% win · Sharpe 4.68 · 3.21% return · 0.75% max drawdown
Pair Analysis: Long KR200 / Short SMSN
This setup is currently supported by the statistical mean-reversion signal, as the pair is trading at a discount (negative z-score).
- Roll Z-Score: -1.30 (4h snapshot)
- Interpretation: The negative z-score indicates that KR200 is currently "cheap" relative to SMSN compared to its historical mean. This aligns with your directional intent to Long KR200 and Short SMSN.
- Correlation: 0.84 (4h)
- Interpretation: Strong positive correlation, which is ideal for a pair trade as it suggests the assets typically move in tandem, making the spread more likely to mean-revert.
- Half-Life: 8h (~0.3d)
- Interpretation: A relatively short half-life suggests the spread tends to revert to the mean within a reasonable timeframe, supporting the viability of this trade.
- Sentiment: No specific sentiment data is currently available for KR200 or SMSN.
Remark:
The trade is statistically well-positioned for mean reversion, with the negative z-score suggesting KR200 is undervalued relative to SMSN. Given the strong correlation and short half-life, the setup is technically sound for a mean-reversion strategy. Ensure you monitor for any idiosyncratic news affecting Samsung (SMSN) or the broader Korean market (KR200) that could decouple the pair, as the statistical edge relies on their historical relationship holding.
KR200
SMSN