Correlation: 0.80 · Cointegrated: yes
Z-score: 0.89 entry / 1.59 rolling
Half-life 1.3h · Hurst 0.90 · Hedge ratio 0.26
Pair volatility: 6.87%
Backtest: 22.22% win · Sharpe -8.04 · -0.26% return · 0.26% max drawdown
Pair Analysis: Long USTECH / Short SP500
- Roll Z-Score: 2.04 (1h) / 1.29 (4h)
- Note: A positive Z-score indicates the SP500 leg is statistically "rich" relative to USTECH, providing a mean-reversion signal that supports the Long USTECH / Short SP500 trade.
- Correlation: 0.80 (1h)
- Cointegration: True (1h)
- Half-Life: ~32 hours (1h)
- Signal Status: This setup is currently active as a live signal (ranked #2).
- Sentiment: No specific sentiment data available for these indices.
Remark:
The trade is statistically aligned with mean-reversion signals, as the SP500 is currently trading at a premium relative to USTECH. The cointegration is confirmed on the 1h timeframe, suggesting a stable long-term relationship between the two indices. With a half-life of ~32 hours, the mean-reversion process is relatively slow, implying this is a position-trading setup rather than a high-frequency scalp. Ensure sizing accounts for the 1h snapshot age (~1.2h) and the high correlation, which may limit the diversification benefit of the pair.
USTECH
SP500