Pair is strongly diverging away from the mean. High risk of further deviation.
short spread · 9× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 1.54 |
| Z-score | 2.44 at entry |
| Correlation | 0.61 · cointegrated |
| Half-life | 2.3h |
| Hurst | 0.89 |
| Hedge ratio | 0.47 · long-term beta 0.47 |
| Beta stability | stable · current 0.68 · range 0.35–1.63 · 0 sign changes |
| Lead–lag peak corr | 0.61 |
| Pair volatility | 28.38% |
| Momentum | z-velocity +1.57 · acceleration +1.34 · vol ratio 0.30 |
Backtest
| Metric | Value |
|---|
| Win rate | 75.00% — 15W / 5L over 20 trades |
| Sharpe | 2.07 |
| Total return | +1.73% |
| Max drawdown | 1.36% |
VIRTUAL
APE