Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.68 · Cointegrated: yes
Z-score: -2.06 entry / -3.12 rolling
Half-life 0.5h · Hurst 0.94 · Hedge ratio 0.75
Pair volatility: 49.40%
Backtest: 84.62% win · Sharpe 4.30 · 3.38% return · 0.74% max drawdown
Pair Analysis: Long KR200 / Short SMSN
- Roll Z-Score: -3.12 (1h), -2.31 (4h), -0.48 (1d)
- Correlation: 0.68 (1h) to 0.95 (1d)
- Cointegration: True (1h timeframe)
- Half-Life: 13h (1h), 7h (4h)
Analysis:
- Statistical Setup: The pair is currently trading at a significant discount relative to its mean (negative z-score). The 1h z-score of -3.12 indicates the spread is statistically "cheap" and oversold, supporting a mean-reversion trade to Long KR200 / Short SMSN.
- Alignment: Your chosen direction (Long KR200 / Short SMSN) is quant-optimal, aligning with the mean-reversion signal generated by the negative z-score.
- Technical Context: The 1h cointegration is positive, suggesting a stable relationship in the short term. However, the 4h and 1d cointegration tests are currently false, implying the long-term relationship may be less robust or undergoing a regime shift.
- Sentiment: No specific sentiment data is available for these assets.
- Note: The 1h z-score is ~1.3 hours old; ensure the spread has not moved significantly since the last snapshot before executing.
KR200
SMSN