Correlation: 0.75 · Cointegrated: yes
Z-score: -0.32 entry / -1.69 rolling
Half-life 0.6h · Hurst 0.93 · Hedge ratio 0.82
Pair volatility: 41.67%
Backtest: 79.17% win · Sharpe 3.56 · 2.39% return · 0.75% max drawdown
Pair Analysis: Long KR200 / Short SMSN
- Roll Z-Score (1h): -4.93 (Strongly suggests KR200 is cheap relative to SMSN)
- Roll Z-Score (4h): 0.53
- Roll Z-Score (1d): -0.56
- Correlation: 0.74 (1h) to 0.95 (1d)
- Half-Life: 14h (1h timeframe)
Setup Remark:
The 1h z-score of -4.93 indicates a significant statistical divergence where KR200 is currently "cheap" relative to SMSN on a short-term basis. This aligns with your directional intent (Long KR200 / Short SMSN). However, note that the 4h and 1d z-scores are near neutral (0.53 and -0.56, respectively), suggesting this is a short-term mean-reversion opportunity rather than a long-term structural divergence.
- Venue Status: Both assets are available on Hyperliquid (xyz deployer).
- Sentiment: No specific sentiment data is currently available for these assets.
- Execution Note: The 1h z-score snapshot is ~1.2 hours old; verify current price action before entry, as a rapid move could have already closed the gap.
KR200
SMSN