Pair is strongly diverging away from the mean. High risk of further deviation.
long spread · 9× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.57 |
| Z-score | -1.89 at entry |
| Correlation | 0.67 · cointegrated |
| Half-life | 5.8h |
| Hurst | 0.89 |
| Hedge ratio | 3.71 · long-term beta 0.67 |
| Beta stability | stable · current 3.71 · range 0.17–3.80 · 0 sign changes |
| Lead–lag peak corr | 0.67 |
| Pair volatility | 26.05% |
| Momentum | z-velocity -0.40 · acceleration -0.73 · vol ratio 0.17 |
Backtest
| Metric | Value |
|---|
| Win rate | 71.43% — 10W / 4L over 14 trades |
| Sharpe | 4.28 |
| Total return | +2.23% |
| Max drawdown | 0.56% |
MOODENG
SOL