short spread · 5× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | 0.64 |
| Z-score | 2.49 at entry · 2.28 pair |
| Correlation | 0.64 · cointegrated |
| Half-life | 1.1h |
| Hurst | 0.83 |
| Hedge ratio | 0.24 · long-term beta 0.20 |
| Beta stability | stable · current 0.24 · range -0.00–0.34 · 2 sign changes |
| Lead–lag peak corr | 0.64 |
| Pair volatility | 77.74% |
Backtest
| Metric | Value |
|---|
| Win rate | 88.89% — 16W / 2L over 18 trades |
| Sharpe | 8.55 |
| Total return | +1.94% |
| Max drawdown | 0.23% |
- Pair: Long SOXL / Short EWT
- Venue: Both listed on Hyperliquid
xyz, USDC collateral
- SOXL: max 10x
- EWT: max 20x
- 1h technical/statistical setup:
- Roll Z-Score: 1.31
- Z-score: 2.49
- Correlation: 0.64
- Cointegration: true
- Half-life: 28h
- Hurst: 0.83
- Quant weights: 19.2% SOXL / 80.8% EWT
- Higher timeframes:
- 4h: Roll Z 1.61, correlation 0.69, cointegration false
- 1d: Roll Z 1.70, correlation 0.80, cointegration false
- This weakens confidence in durable mean reversion despite the attractive 1h deviation.
- Signal status: Active 1h Long SOXL / Short EWT signal returned; entry snapshot z-score 2.49.
- Sentiment/news: No internal sentiment data or recent-news context returned for either asset.
- Remark: Moderately attractive but fragile mean-reversion setup—the 1h spread is stretched and cointegrated, but the high Hurst value and failed 4h/1d cointegration suggest trend/regime-break risk. Treat as a short-horizon trade rather than a high-conviction structural pair.
SOXL
EWT