Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.70 · Cointegrated: yes
Z-score: 3.26 entry / 2.06 rolling
Half-life 0.5h · Hurst 0.85 · Hedge ratio 0.62
Pair volatility: 32.55%
Backtest: 87.50% win · Sharpe 2.27 · 0.45% return · 0.52% max drawdown
Pair Analysis: Long GLW / Short COHR
- 1h Roll Z-Score: 2.06 (COHR is rich relative to GLW)
- 4h Roll Z-Score: 2.91
- 1d Roll Z-Score: -0.43
- Correlation: 0.70 (1h)
- Hedge Ratio (4h): 0.735
Analysis:
- Mean Reversion: The 1h and 4h Z-scores are positive and elevated, suggesting COHR is currently trading rich relative to GLW on a short-to-medium term basis. Your direction (Long GLW / Short COHR) aligns with a mean-reversion play on this spread.
- Divergence: Note the 1d Z-score is -0.43, indicating the pair is near its long-term mean. The trade is currently supported by short-term stretched pricing (1h/4h) but lacks long-term statistical divergence.
- Sentiment: No specific sentiment data is available for these assets.
- Execution: Both assets are available on Hyperliquid (para:GLW, para:COHR) with 10x max leverage. Ensure you are comfortable with the 1d timeframe's lack of divergence before sizing aggressively.
GLW
COHR