Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -1.37 entry / -2.12 rolling
Half-life 0.6h · Hurst 0.93 · Hedge ratio 0.86
Pair volatility: 41.63%
Backtest: 80.00% win · Sharpe 4.18 · 2.81% return · 0.75% max drawdown
Pair Analysis: KR200 / SMSN
- Roll Z-Score: -2.12 (1h) / -1.91 (4h)
- Correlation: 0.73 (1h) / 0.85 (4h)
- Hedge Ratio: 0.86 (1h) / 0.88 (4h)
- Cointegration: True (1h/4h)
- Half-Life: 15h (1h) / 8h (4h)
Analysis:
- Mean Reversion: The negative z-score (-2.12) indicates that KR200 is currently statistically "cheap" relative to SMSN. Your proposed direction (Long KR200 / Short SMSN) aligns with a mean-reversion strategy, betting on the spread widening back toward the mean.
- Technical Context: The pair shows strong cointegration on shorter timeframes (1h/4h), suggesting a stable long-term relationship. The 1h z-score is ~1.3h old; verify current price action as the spread may have moved since the last snapshot.
- Sentiment: No specific sentiment data is available for these assets.
- Execution: Both assets are available on Hyperliquid (xyz deployer). Note that SMSN has a lower max leverage (10x) compared to KR200 (20x); your position will be clamped to the lower cap if you exceed 10x.
KR200
SMSN