Correlation: 0.64 · Cointegrated: yes
Z-score: -1.53 entry / -0.68 rolling
Half-life 0.6h · Hurst 0.86 · Hedge ratio 1.61
Pair volatility: 17.29%
Backtest: 50.00% win · Sharpe 1.50 · 0.06% return · 0.39% max drawdown
Pair Analysis: Long EWT / Short USTECH
This setup is a mean-reversion play targeting the relative undervaluation of EWT against the USTECH index.
- Roll Z-Score: -1.63 (1h) / -1.93 (4h)
- Interpretation: The negative Z-score indicates EWT is statistically "cheap" relative to USTECH. The 4h Z-score of -1.93 suggests a significant deviation from the mean, supporting a mean-reversion entry.
- Correlation: 0.64 (1h) / 0.70 (4h)
- Interpretation: Moderate correlation. The pair moves somewhat in tandem, but the divergence is sufficient to trade the spread.
- Half-Life: 15h (1h) / 6h (4h)
- Interpretation: The 4h half-life of 6 hours suggests a relatively fast mean-reversion process, implying the spread could close within a short timeframe if the statistical relationship holds.
- Hedge Ratio: 1.41 (4h)
- Interpretation: For every $1 of EWT long exposure, you would short ~$1.41 of USTECH to maintain a delta-neutral spread.
Technical Note:
The trade is aligned with the quant-optimal direction (Long EWT / Short USTECH). The Z-score is currently in "cheap" territory for EWT, suggesting the spread is stretched. Monitor the 4h Z-score closely; if it continues to deepen, the mean-reversion thesis remains intact, but if it begins to flatten without price convergence, the statistical edge may be degrading.
Sentiment/News: No specific sentiment data available for this pair.
EWT
USTECH