Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.76 · Cointegrated: yes
Z-score: 1.27 entry / 1.89 rolling
Half-life 0.6h · Hurst 0.93 · Hedge ratio 0.83
Pair volatility: 32.86%
Backtest: 81.25% win · Sharpe 5.34 · 2.52% return · 0.51% max drawdown
Pair Analysis: Long KR200 / Short EWY
This pair trade targets the mean reversion of the spread between the KR200 index and the EWY ETF.
- Roll Z-Score: 1.89 (1h) / 1.44 (4h)
- Interpretation: The positive z-score indicates that EWY is currently "rich" relative to KR200. Your proposed direction (Long KR200 / Short EWY) is aligned with the quant-optimal mean-reversion strategy.
- Correlation: 0.76 (1h) / 0.90 (4h)
- Interpretation: Strong correlation, particularly on the 4h timeframe, supporting the validity of the pair relationship.
- Half-Life: ~14h (1h) / ~10h (4h)
- Interpretation: The spread exhibits mean-reverting behavior with a relatively short half-life, suggesting the potential for the spread to close within a reasonable timeframe.
- Hurst Exponent: 0.93 (1h) / 0.85 (4h)
- Interpretation: High Hurst values suggest the spread is currently trending or persistent rather than purely mean-reverting in the very short term, which may imply a slower convergence than the half-life suggests.
Note: The 1h z-score is ~1.3 hours old. Ensure you check current price action, as significant intraday moves can impact the spread's current deviation from the mean. Sentiment data for these specific assets is currently unavailable.
KR200
EWY