long spread · 18× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -0.63 |
| Z-score | -2.44 at entry · -2.46 pair |
| Correlation | 0.61 · cointegrated |
| Half-life | 5.8h |
| Hurst | 0.90 |
| Hedge ratio | 1.61 · long-term beta 0.72 |
| Beta stability | stable · current 1.61 · range -0.03–1.61 · 2 sign changes |
| Lead–lag peak corr | 0.61 |
| Pair volatility | 28.99% |
Backtest
| Metric | Value |
|---|
| Win rate | 80.00% — 8W / 2L over 10 trades |
| Sharpe | 3.58 |
| Total return | +1.63% |
| Max drawdown | 0.76% |
FIL
TAO