Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.66 · Cointegrated: yes
Z-score: -1.35 entry / -2.13 rolling
Half-life 0.5h · Hurst 0.91 · Hedge ratio 0.94
Pair volatility: 49.78%
Backtest: 81.48% win · Sharpe 4.18 · 3.36% return · 0.74% max drawdown
### Pair Analysis: Long KR200 / Short SMSN
* **Roll Z-Score:** -2.13 (1h) | -1.68 (4h) | -0.73 (1d)
* **Correlation:** 0.66 (1h) | 0.80 (4h) | 0.94 (1d)
* **Hedge Ratio (4h):** 0.939 (Sizing: 51.6% KR200 / 48.4% SMSN)
* **Half-Life:** 6h (4h timeframe)
**Analysis:**
* **Mean Reversion:** The 1h Roll Z-score of -2.13 indicates a strong statistical divergence, suggesting KR200 is currently "cheap" relative to SMSN. The trade setup aligns with mean-reversion logic (buying the undervalued leg, selling the overvalued leg).
* **Conviction:** The 4h and 1h timeframes show strong cointegration and a significant negative Z-score, supporting the mean-reversion thesis. The 1d timeframe is less compelling (Z: -0.73), suggesting this is a short-to-medium-term tactical opportunity rather than a long-term structural play.
* **Sentiment:** No specific sentiment data is available for these assets.
* **Execution Note:** Both assets are listed on the `xyz` deployer (USDC collateral). Ensure sufficient USDC is available in your account to cover both legs.
KR200
SMSN