Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.86 · Cointegrated: yes
Z-score: -1.23 entry / -1.93 rolling
Half-life 0.9h · Hurst 0.92 · Hedge ratio 0.81
Pair volatility: 28.19%
Backtest: 72.41% win · Sharpe 1.35 · 0.65% return · 1.32% max drawdown
Pair Analysis: Long EWY / Short SMSN
This setup targets a short-term mean reversion, as EWY is currently trading at a discount relative to SMSN on lower timeframes.
- Roll Z-Score (1h): -1.93 (EWY is statistically "cheap" relative to SMSN)
- Roll Z-Score (4h): -1.62
- Correlation: 0.86 (1h) / 0.89 (4h)
- Half-Life: 21h (1h) / 7h (4h)
- Cointegration: True (1h/4h)
Analysis:
- Technical Setup: The negative z-scores on the 1h and 4h timeframes indicate that EWY has diverged downward relative to SMSN. The trade is a classic mean-reversion play: betting that the spread will tighten as EWY recovers or SMSN cools off.
- Timeframe Divergence: While the 1h and 4h signals are strongly negative (suggesting EWY is cheap), the 1d z-score is slightly positive (0.11), indicating that the longer-term relationship is near neutral. This suggests the current opportunity is tactical and short-lived rather than a structural trend reversal.
- Sentiment: No specific sentiment data is available for this pair. Monitor broader South Korean market sentiment and Samsung-specific news, as these are the primary drivers of the spread.
- Execution Note: Both assets are available on Hyperliquid via the
xyz deployer. Ensure you are comfortable with the 21h half-life, which implies the mean reversion may take nearly a day to materialize.
EWY
SMSN