Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -1.32 entry / -1.68 rolling
Half-life 0.6h · Hurst 0.92 · Hedge ratio 0.86
Pair volatility: 42.02%
Backtest: 84.62% win · Sharpe 4.78 · 3.31% return · 0.75% max drawdown
Pair Analysis: KR200 / SMSN
- Roll Z-Score (1h): -1.68 (Snapshot: ~1.3h old)
- Roll Z-Score (4h): -0.83 (Snapshot: ~6.3h old)
- Roll Z-Score (1d): -1.24 (Snapshot: ~1.9d old)
- Correlation: 0.72 (1h)
- Hedge Ratio: 0.86 (1h)
Analysis:
- Mean Reversion: The negative Z-score (-1.68 on the 1h timeframe) indicates that the KR200/SMSN spread is currently trading below its historical mean, suggesting KR200 is "cheap" relative to SMSN. Your stated direction (Long KR200 / Short SMSN) aligns with a mean-reversion strategy, betting on the spread to widen back toward the mean.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Note: The 1h Z-score is the primary signal. Given the snapshot age, verify current price action before entry, as significant intraday moves may have occurred since the last data refresh.
KR200
SMSN