Correlation: 0.82 · Cointegrated: yes
Z-score: 0.88 entry / 1.68 rolling
Half-life 0.6h · Hurst 0.79 · Hedge ratio 1.15
Pair volatility: 35.27%
Backtest: 71.43% win · Sharpe 5.47 · 2.28% return · 0.73% max drawdown
Pair Analysis: Long COHR / Short AAOI
This setup aligns with the 1h and 4h mean-reversion signals, which currently identify AAOI as rich relative to COHR.
- Roll Z-Score (1h): 2.25 (Snapshot age: 1.2h)
- Roll Z-Score (4h): 0.53 (Snapshot age: 7.2h)
- Correlation: 0.82 (1h)
- Hedge Ratio (4h): 1.152 (Sizing: 53.5% COHR / 46.5% AAOI)
Analysis:
- Mean Reversion: The 1h z-score of 2.25 is statistically significant, suggesting AAOI has recently outperformed COHR beyond its typical range. The trade effectively bets on this spread compressing (AAOI weakening or COHR strengthening).
- Signal Freshness: The 1h signal is relatively fresh (1.2h old). However, given the high z-score, verify recent intraday price action to ensure the spread hasn't already begun to revert.
- Sentiment: No specific sentiment data is available for these assets.
- Execution: Both assets are available on Hyperliquid (para deployer) with a max leverage of 10x.
COHR
AAOI