Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: -1.74 entry / -1.82 rolling
Half-life 0.5h · Hurst 0.89 · Hedge ratio 1.31
Pair volatility: 35.52%
Backtest: 76.92% win · Sharpe 3.30 · 1.21% return · 1.08% max drawdown
Pair Analysis: Long COHR / Short EWY
This setup is currently showing a strong mean-reversion signal on the shorter timeframes, suggesting the spread between Coherent Corp (COHR) and the South Korea ETF (EWY) is currently "cheap" (oversold) relative to its recent mean.
Statistical Snapshot
- 1h Roll Z-Score: -1.82 (Strong mean-reversion signal; spread is statistically cheap)
- 4h Roll Z-Score: -0.01 (Neutral)
- 1d Roll Z-Score: -1.58 (Supports the 1h cheapness signal)
- Correlation: 0.61 (1h)
- Hedge Ratio: ~1.31 (4h)
Remark
The 1h and 1d z-scores are both deeply negative, indicating that the spread has deviated significantly below its historical mean. This setup aligns with a mean-reversion strategy, betting that the spread will widen back toward the mean. However, the 4h z-score is neutral, suggesting some divergence between the short-term and medium-term trends. Given the lack of specific sentiment data, this trade relies heavily on the statistical mean-reversion signal. Ensure you monitor the spread closely, as the 1h snapshot is ~1.3 hours old and may not reflect the most recent market volatility.
COHR
EWY