Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
long spread · regime STRONG_REVERSION (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.59 |
| Z-score | -1.65 at entry |
| Correlation | 0.60 · cointegrated |
| Half-life | 4.4h |
| Hurst | 0.91 |
| Hedge ratio | 0.85 · long-term beta 0.63 |
| Beta stability | stable · current 0.85 · range -0.07–1.45 · 4 sign changes |
| Lead–lag peak corr | 0.60 |
| Pair volatility | 31.69% |
| Momentum | z-velocity +0.20 · acceleration +0.66 · vol ratio 0.12 |
Backtest
| Metric | Value |
|---|
| Win rate | 87.50% — 14W / 2L over 16 trades |
| Sharpe | 5.31 |
| Total return | +3.22% |
| Max drawdown | 0.88% |
AMD
KR200