Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.62 · Cointegrated: yes
Z-score: -1.42 entry / -1.98 rolling
Half-life 0.7h · Hurst 0.88 · Hedge ratio 1.24
Pair volatility: 40.84%
Backtest: 63.64% win · Sharpe 0.77 · 0.22% return · 1.22% max drawdown
Pair Analysis: Long COHR / Short SMSN
This setup is currently showing a strong mean-reversion signal, with the spread trading at a significant discount relative to its historical mean.
- Roll Z-Score: -1.98 (1h) / -1.81 (4h)
- Correlation: 0.62 (1h)
- Cointegration: True
- Half-Life: ~16h (1h timeframe)
- Hedge Ratio: 1.24 (4h)
Analysis:
- Directional Alignment: The user-specified direction (Long COHR / Short SMSN) is aligned with the quant-optimal direction derived from the z-score.
- Signal Strength: The 1h z-score of -1.98 indicates the pair is statistically "cheap" (COHR is undervalued relative to SMSN). The negative z-score suggests the spread has deviated significantly below its mean, presenting a potential mean-reversion opportunity.
- Execution Note: Both assets are available on Hyperliquid (COHR on
para, SMSN on xyz). Ensure you have sufficient USDC collateral on both deployers if required by your account mode, as these are separate collateral pools.
- Sentiment: No specific sentiment data is currently available for these assets. Monitor for sector-specific news (semiconductors/tech) that could drive idiosyncratic volatility and break the cointegration.
COHR
SMSN