Correlation: 0.61 · Cointegrated: yes
Z-score: 1.20 entry / 2.23 rolling
Half-life 0.6h · Hurst 0.89 · Hedge ratio 1.21
Pair volatility: 42.55%
Backtest: 60.00% win · Sharpe 1.29 · 0.32% return · 1.22% max drawdown
Pair Analysis: SMSN / COHR
- Roll Z-Score (1h): 2.50 (Strong mean-reversion signal; indicates COHR is currently rich relative to SMSN)
- Roll Z-Score (4h): 0.44
- Roll Z-Score (1d): -0.08
- Correlation: 0.61 (1h)
- Cointegration: True
- Half-Life: 15h (1h timeframe)
Analysis:
- Directional Alignment: The 1h roll z-score of 2.50 strongly supports your stated direction (Long SMSN / Short COHR), as it suggests the spread is currently stretched with COHR trading at a premium relative to SMSN.
- Timeframe Divergence: There is significant divergence between timeframes. While the 1h signal is high-conviction for a mean-reversion trade, the 4h and 1d z-scores are near neutral, suggesting this is a short-term tactical opportunity rather than a long-term structural divergence.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Execution Note: SMSN is listed on the
xyz deployer and COHR is on the para deployer. Ensure you have sufficient collateral in both respective pools if you intend to execute this pair, as they are not cross-margined by default.
SMSN
COHR