Correlation: 0.69 · Cointegrated: yes
Z-score: -1.67 entry / -0.51 rolling
Half-life 1.5h · Hurst 0.91 · Hedge ratio 0.94
Pair volatility: 41.19%
Backtest: 66.67% win · Sharpe 4.83 · 1.34% return · 0.43% max drawdown
Pair Analysis: Long COHR / Short NBIS
This setup is statistically compelling, with the pair currently trading at a significant discount relative to its historical mean.
- Roll Z-Score: -2.92 (1h), -1.53 (4h), -1.71 (1d). The strongly negative 1h z-score indicates that COHR is currently "cheap" relative to NBIS, supporting a mean-reversion long on COHR and short on NBIS.
- Correlation: 0.69 (1h), indicating a moderate-to-strong relationship between the two assets.
- Cointegration: Confirmed on 4h and 1d timeframes, suggesting a stable long-term relationship suitable for pair trading.
- Hedge Ratio (4h): ~1.03 (approx. 1:1 sizing).
Remark:
The trade is well-aligned with mean-reversion signals, particularly given the deep negative z-score on the 1h timeframe. While the 1h z-score is a snapshot, the multi-timeframe cointegration provides structural confidence. Monitor for any divergence in the 1h spread, as the current z-score suggests a potential snap-back toward the mean. No specific sentiment data is available for these assets; rely on the statistical divergence.
COHR
NBIS