Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.84 · Cointegrated: yes
Z-score: 1.44 entry / 1.91 rolling
Half-life 2.6h · Hurst 0.91 · Hedge ratio 0.38
Pair volatility: 18.62%
Backtest: 53.13% win · Sharpe -2.06 · -0.39% return · 0.61% max drawdown
Pair Analysis: Long SILVER / Short GOLD
Pair Stats (Snapshot)
- 1h Roll Z-Score: 1.91 (GOLD is statistically rich vs SILVER)
- 4h Roll Z-Score: -0.34
- 1d Roll Z-Score: 0.52
- Correlation: 0.84 (1h)
- Hedge Weights (4h): 27.9% SILVER / 72.1% GOLD
- Cointegration: True (1h, 4h)
Analysis Notes
- Mean Reversion: The 1h z-score of 1.91 indicates a significant short-term divergence where GOLD has outperformed SILVER relative to their historical relationship. The trade "Long SILVER / Short GOLD" aligns with a mean-reversion play on this 1h divergence.
- Timeframe Divergence: Note that the 4h and 1d z-scores are near neutral, suggesting the divergence is primarily a short-term phenomenon. The 1h z-score is ~1.3h old; verify current price action to ensure the divergence persists.
- Sentiment: The broader commodity sector (HIP-3) is currently showing bullish sentiment. While specific sentiment for GOLD/SILVER is limited, the sector outlook is positive, which may provide a tailwind for both assets, potentially impacting the spread's volatility.
- Execution: Both assets are available on Hyperliquid via the
xyz deployer (USDC collateral).
SILVER
GOLD