Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
short spread · regime STRONG_REVERSION (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 1.89 |
| Z-score | 1.79 at entry |
| Correlation | 0.82 · cointegrated |
| Half-life | 0.6h |
| Hurst | 0.93 |
| Hedge ratio | 0.79 · long-term beta 0.75 |
| Beta stability | stable · current 0.79 · range 0.46–1.15 · 0 sign changes |
| Lead–lag peak corr | 0.82 |
| Pair volatility | 29.72% |
| Momentum | z-velocity -0.13 · acceleration -0.08 · vol ratio 0.55 |
Backtest
| Metric | Value |
|---|
| Win rate | 78.57% — 22W / 6L over 28 trades |
| Sharpe | 4.31 |
| Total return | +1.80% |
| Max drawdown | 0.52% |
Pair Analysis: Long KR200 / Short EWY
This pair trade targets the mean reversion of the spread between the KR200 index and the EWY (iShares MSCI South Korea ETF).
- Roll Z-Score (1h): 1.89
- Correlation: 0.82
- Half-Life: 14h (~0.6d)
- Hedge Ratio (4h): 0.731 (Long 42.2% / Short 57.8%)
Analysis:
- Mean Reversion Signal: The 1h Roll Z-Score of 1.89 indicates that EWY is currently trading rich relative to the KR200 index. Your stated direction (Long KR200 / Short EWY) aligns with the quant-optimal mean-reversion strategy, which seeks to profit as the spread contracts.
- Technical Context: The pair shows strong correlation (0.82–0.97 across timeframes), supporting the validity of the spread. The 14-hour half-life suggests a relatively quick mean-reversion window, though the 1h z-score is ~1.3 hours old; verify current price action to ensure the spread hasn't already corrected.
- Sentiment/News: I do not have access to real-time sentiment or news feeds for these specific assets. Please cross-reference this statistical setup with current macro developments regarding the South Korean market, as index-ETF spreads can be sensitive to liquidity differences and market-specific news.
Note: The 4h hedge weights (42.2% / 57.8%) are recommended for sizing. The 1h z-score is a snapshot; ensure the spread has not diverged significantly since the last update.
KR200
EWY