Pair is strongly diverging away from the mean. High risk of further deviation.
short spread · 5× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 2.61 |
| Z-score | 2.42 at entry |
| Correlation | 0.64 · cointegrated |
| Half-life | 0.6h |
| Hurst | 0.90 |
| Hedge ratio | 0.96 · long-term beta 1.51 |
| Beta stability | stable · current 0.96 · range 0.21–2.14 · 0 sign changes |
| Lead–lag peak corr | 0.64 |
| Pair volatility | 36.79% |
| Momentum | z-velocity +0.18 · acceleration +0.29 · vol ratio 1.22 |
Backtest
| Metric | Value |
|---|
| Win rate | 73.33% — 11W / 4L over 15 trades |
| Sharpe | 2.99 |
| Total return | +1.47% |
| Max drawdown | 1.08% |
Pair Analysis: Long EWY / Short COHR
This setup is currently showing a strong mean-reversion signal, with the pair trading at a significant premium for COHR relative to EWY.
- Roll Z-Score: 2.61 (1h) / 2.86 (4h)
- Note: The positive z-score indicates that COHR is statistically "rich" relative to EWY. Your direction (Long EWY / Short COHR) is aligned with the quant-optimal mean-reversion signal.
- Correlation: 0.64 (1h) / 0.65 (4h)
- Half-Life: ~13-15 hours (indicates a relatively fast mean-reversion process).
- Hedge Weights (4h): 62.9% EWY / 37.1% COHR
- Note: Sizing is based on 4h weights.
Remark:
The high z-score (approaching +3.0 on the 4h timeframe) suggests that the spread between COHR and EWY is currently stretched, providing a high-conviction entry for a mean-reversion trade. The correlation remains moderate, supporting the pair's structural relationship. No specific sentiment data is available for these assets, so the trade should be managed primarily on the strength of the statistical divergence. Ensure you monitor the spread closely, as the 1h z-score is relatively fresh (1.3h old), but the 4h snapshot is slightly older (6.3h).
EWY
COHR