long spread · 18× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -0.11 |
| Z-score | -1.68 at entry · -1.64 pair |
| Correlation | 0.62 · cointegrated |
| Half-life | 5.8h |
| Hurst | 0.91 |
| Hedge ratio | 1.61 · long-term beta 1.10 |
| Beta stability | stable · current 1.61 · range 0.03–1.68 · 0 sign changes |
| Lead–lag peak corr | 0.62 |
| Pair volatility | 30.46% |
Backtest
| Metric | Value |
|---|
| Win rate | 70.00% — 7W / 3L over 10 trades |
| Sharpe | 3.40 |
| Total return | +2.04% |
| Max drawdown | 1.05% |
OP
TAO