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: -1.28 entry / -1.92 rolling
Half-life 0.6h · Hurst 0.86 · Hedge ratio 1.98
Pair volatility: 33.45%
Backtest: 63.64% win · Sharpe 1.17 · 0.32% return · 1.08% max drawdown
Pair Analysis: Long COHR / Short EWY
This setup is currently showing a strong mean-reversion signal. The spread is significantly depressed relative to its historical mean, suggesting that the pair is "cheap" and potentially primed for a reversion to the mean.
Statistical Snapshot
- 1h Roll Z-Score: -1.92 (Primary signal; indicates the spread is significantly below its mean)
- 4h Roll Z-Score: -0.98
- 1d Roll Z-Score: -0.89
- Correlation: 0.61 (1h)
- Half-Life: 16h (1h timeframe)
- Hedge Weights (4h): 44.7% Long COHR / 55.3% Short EWY
Analysis & Sentiment
- Mean Reversion: The 1h z-score of -1.92 is the most compelling metric here, signaling that the current spread deviation is statistically significant and potentially overextended to the downside.
- Sentiment: No specific sentiment data is available for COHR or EWY at this time.
- Note: The 1h z-score snapshot is ~1.3 hours old. Given the strong signal, verify recent price action to ensure the spread hasn't already begun a rapid reversion before entering.
Disclaimer: This analysis is based on statistical snapshots and does not constitute financial advice.
COHR
EWY