Z-score (1.47) is too close to the mean to be considered for a trade.
short spread · regime IDLE (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 1.47 |
| Z-score | 2.57 at entry |
| Correlation | 0.85 · cointegrated |
| Half-life | 0.9h |
| Hurst | 0.91 |
| Hedge ratio | 0.72 · long-term beta 0.73 |
| Beta stability | stable · current 0.72 · range 0.46–1.15 · 0 sign changes |
| Lead–lag peak corr | 0.85 |
| Pair volatility | 27.30% |
| Momentum | z-velocity -0.02 · acceleration +0.10 · vol ratio 0.28 |
Backtest
| Metric | Value |
|---|
| Win rate | 76.92% — 20W / 6L over 26 trades |
| Sharpe | 2.49 |
| Total return | +1.02% |
| Max drawdown | 0.52% |
- Pair: Long KR200 / Short EWY
- Venue: Both listed on Hyperliquid
xyz; USDC collateral; max leverage 20x each
- Roll Z-Score:
- 1h: +1.47 — 1.4h-old snapshot
- 4h: +2.38 — 5.3h-old snapshot
- 1d: +1.97 — 1.7d-old snapshot
- Correlation: 0.85 / 0.92 / 0.97 across 1h / 4h / 1d
- Cointegration: True on 1h; false on 4h and 1d
- Hurst: 0.91 / 0.88 / 0.50 — weak mean-reversion evidence on shorter windows
- 4h sizing weights: 42.1% KR200 long / 57.9% EWY short
- Sentiment/news: No sentiment data or recent 7-day news results available for either ticker.
- Remark: The spread is materially stretched, with the strongest signal on 4h, supporting a potential relative-value fade. However, failed 4h/1d cointegration and high short-window Hurst readings weaken conviction; treat as a tactical, higher-risk mean-reversion setup rather than a robust structural pair. Z-scores are snapshots, not live.
KR200
EWY