Correlation: 0.84 · Cointegrated: yes
Z-score: -0.94 entry / -2.08 rolling
Half-life 2.1h · Hurst 0.87 · Hedge ratio 0.96
Pair volatility: 41.72%
Backtest: 33.33% win · Sharpe -1.50 · -0.86% return · 2.60% max drawdown
Pair Analysis: Long xyz:SKHX / Short xyz:SKHY
This setup is currently showing a mean-reversion opportunity based on the spread's deviation from its historical relationship.
- Roll Z-Score (1h): -2.80
- Roll Z-Score (4h): -1.58
- Correlation: 0.84
- Cointegration: True
- Half-Life (1h): 54h (~2.2d)
- Hedge Ratio (4h): 0.97 (Sizing: 50.8% Long / 49.2% Short)
Analysis:
- Directional Alignment: The user-specified direction (Long SKHX / Short SKHY) is aligned with the quant-optimal direction derived from the z-score.
- Spread Status: The negative z-score indicates that the spread is currently "cheap" (SKHX is trading at a discount relative to SKHY), supporting a long-SKHX/short-SKHY position as a mean-reversion play.
- Conviction: The 1h z-score of -2.80 is statistically significant, suggesting a strong deviation from the mean. However, the 1h snapshot is ~1.2h old; verify recent price action to ensure the spread hasn't already corrected significantly.
- Sentiment: No specific sentiment data is available for these assets; the trade is purely statistical.
SKHX
SKHY