Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.62 · Cointegrated: yes
Z-score: -1.75 entry / -1.85 rolling
Half-life 0.7h · Hurst 0.92 · Hedge ratio 1.03
Pair volatility: 49.75%
Backtest: 71.43% win · Sharpe 2.95 · 0.52% return · 1.03% max drawdown
Pair Analysis: Long COHR / Short SMSN
Statistical Diagnostics
- Roll Z-Score: -1.85 (1h) / -1.64 (4h)
- Interpretation: The spread is currently statistically "cheap" (below the mean), supporting a mean-reversion entry (Long COHR / Short SMSN).
- Correlation: 0.62 (1h) / 0.57 (4h)
- Cointegration: True
- Half-Life: ~13–17 hours (indicates a relatively fast mean-reversion process).
- Hedge Ratio: ~1.01–1.03 (near 1:1 sizing).
Setup Remark
The pair exhibits strong mean-reversion characteristics with a negative z-score, suggesting the spread is currently undervalued. The cointegration is confirmed, and the relatively short half-life (~0.5–0.7 days) implies the spread tends to close its deviation quickly.
Note: Sentiment data for these specific assets is currently unavailable. Ensure you monitor the relative price action, as the z-score is a snapshot and may lag if significant intraday volatility has occurred.
COHR
SMSN