long spread · 5× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -2.58 |
| Z-score | -2.57 at entry · -1.19 pair |
| Correlation | 0.71 · cointegrated |
| Half-life | 1.1h |
| Hurst | 0.89 |
| Hedge ratio | 0.46 · long-term beta 0.54 |
| Beta stability | stable · current 0.46 · range 0.01–1.07 · 0 sign changes |
| Lead–lag peak corr | 0.71 |
| Pair volatility | 39.31% |
Backtest
| Metric | Value |
|---|
| Win rate | 81.25% — 26W / 6L over 32 trades |
| Sharpe | 4.84 |
| Total return | +3.01% |
| Max drawdown | 0.81% |
Pair Analysis: Long EWY / Short MRVL
This setup is currently showing a strong mean-reversion signal, with the spread between the two assets significantly depressed relative to their historical relationship.
Statistical Diagnostics
- 1h Roll Z-Score: -2.57 (Snapshot ~1.3h old)
- 4h Roll Z-Score: -2.39 (Snapshot ~4.3h old)
- Correlation: 0.71–0.74 (Strong positive correlation)
- Cointegration: Confirmed (1h/4h timeframes)
- Half-Life: ~7–27 hours (Short-term mean reversion expected)
Analysis
- Mean Reversion: The deep negative Z-score (-2.57) indicates that EWY is currently "cheap" relative to MRVL compared to their recent historical spread. The trade is effectively betting on the spread widening back toward the mean.
- Alignment: The user-specified direction (Long EWY / Short MRVL) aligns with the quant-optimal direction derived from the Z-score sign.
- Sentiment/News: No specific sentiment data is available for these assets at this time.
- Risk Note: The Z-score is a snapshot; given the high volatility in tech (MRVL) and macro-sensitive assets (EWY), verify current spot prices before entry, as a significant move in the last hour could alter the effective Z-score.
Note: This analysis is based on statistical snapshots and does not constitute financial advice.
EWY
MRVL