Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.76 · Cointegrated: yes
Z-score: 1.48 entry / 1.87 rolling
Half-life 0.6h · Hurst 0.93 · Hedge ratio 0.73
Pair volatility: 32.18%
Backtest: 80.65% win · Sharpe 5.33 · 2.47% return · 0.51% max drawdown
Pair Analysis: Long KR200 / Short EWY
This setup is a classic mean-reversion trade targeting the spread between the Korean index proxy (KR200) and the iShares MSCI South Korea ETF (EWY).
- Roll Z-Score: 1.87 (1h timeframe)
- Interpretation: The positive z-score indicates that EWY is currently "rich" relative to KR200. Your direction (Long KR200 / Short EWY) is aligned with the quant-optimal mean-reversion strategy, which seeks to profit as this spread contracts.
- Correlation: 0.76 (1h) to 0.97 (1d)
- Interpretation: The pair exhibits strong correlation, which is essential for a pair trade. The lower 1h correlation suggests some short-term divergence, which is typical for this type of setup.
- Hedge Ratio (4h): 0.720
- Interpretation: For every $1.00 of KR200 (Long), you would short ~$0.72 of EWY to maintain a delta-neutral position.
- Sentiment: No specific sentiment data available for these assets.
Note: The 1h z-score snapshot is ~1.3 hours old. Given the high correlation, ensure you check current spot prices to confirm the spread has not significantly diverged or converged since the last data update.
KR200
EWY