Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.60 · Cointegrated: yes
Z-score: -2.08 entry / -1.93 rolling
Half-life 0.5h · Hurst 0.89 · Hedge ratio 1.05
Pair volatility: 43.50%
Backtest: 78.57% win · Sharpe 5.14 · 2.05% return · 1.22% max drawdown
Pair Analysis: COHR / SMSN
- Roll Z-Score (1h): -2.70 (Snapshot ~2.3h old)
- Roll Z-Score (4h): -0.77 (Snapshot ~7.3h old)
- Correlation: 0.60 (1h)
- Cointegration: True
- Half-Life: 14h (1h timeframe)
- Hedge Ratio: 1.04 (1h)
Analysis:
- Setup: The 1h Roll Z-Score of -2.70 indicates a significant statistical deviation where the spread is currently trading well below its mean, supporting a "Long COHR / Short SMSN" mean-reversion trade. The 4h and 1d z-scores are also negative, confirming this alignment across multiple timeframes.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Execution Note: COHR is listed on the
para deployer (USDC collateral) and SMSN is on the xyz deployer (USDC collateral). Because these assets reside on different deployers, they operate in separate collateral pools. Ensure you have sufficient USDC collateral funded in both the para and xyz pools to support the respective legs of this trade.
COHR
SMSN