Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: -1.87 entry / -1.81 rolling
Half-life 0.6h · Hurst 0.89 · Hedge ratio 1.04
Pair volatility: 41.94%
Backtest: 76.92% win · Sharpe 4.02 · 1.49% return · 1.22% max drawdown
Pair Analysis: COHR / SMSN
- Roll Z-Score: -1.81 (1h) | -1.58 (4h) | -1.09 (1d)
- Correlation: 0.61 (1h)
- Cointegration: True
- Half-Life: 14h (1h timeframe)
- Hedge Ratio: 1.04 (4h)
Technical Remark:
The pair is currently showing a strong mean-reversion signal with a 1h Roll Z-Score of -1.81, indicating that COHR is statistically "cheap" relative to SMSN. The cointegration is confirmed across timeframes, supporting the validity of the pair relationship. With a half-life of 14 hours, the mean-reversion process is relatively active.
Sentiment/News:
No specific sentiment data is currently available for this pair. Given the technical strength of the Z-score, the trade is primarily driven by statistical divergence rather than a specific fundamental catalyst.
Trade Note:
The user-specified direction (Long COHR / Short SMSN) aligns with the quant-optimal direction derived from the negative Z-score (buying the undervalued leg, selling the overvalued leg). Ensure you verify recent price action, as the 1h Z-score snapshot is ~1.3 hours old.
COHR
SMSN