Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.82 · Cointegrated: yes
Z-score: 1.32 entry / 2.29 rolling
Half-life 1.2h · Hurst 0.92 · Hedge ratio 0.31
Pair volatility: 6.95%
Backtest: 20.00% win · Sharpe -10.06 · -0.34% return · 0.34% max drawdown
Pair Analysis: USTECH / SP500
- Roll Z-Score: 2.29 (1h) / 2.21 (4h)
- Correlation: 0.82 (1h) / 0.85 (4h)
- Hedge Ratio (4h): 0.33 (USTECH) / 0.67 (SP500)
- Status: Mean-reversion setup
Analysis:
- Directional Alignment: The positive Z-score (2.29) indicates that SP500 is currently "rich" relative to USTECH. Your proposed trade (Long USTECH / Short SP500) is the quant-optimal mean-reversion play to capture this divergence.
- Technical Context: The pair shows strong correlation (0.82–0.85), supporting the validity of the spread. The 1h Z-score is relatively fresh (~1.3h old), suggesting the statistical edge is currently active.
- Sentiment: No specific sentiment data is available for these indices.
- Note: The 4h hedge ratio suggests a sizing of approximately 33% USTECH / 67% SP500 for a neutral delta exposure.
USTECH
SP500