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 | 1.72 |
| Z-score | 1.72 at entry · 1.32 pair |
| Correlation | 0.61 · cointegrated |
| Half-life | 0.6h |
| Hurst | 0.86 |
| Hedge ratio | 0.78 · long-term beta 0.76 |
| Beta stability | stable · current 0.78 · range 0.21–0.95 · 0 sign changes |
| Lead–lag peak corr | 0.61 |
| Pair volatility | 53.37% |
| Momentum | z-velocity +0.55 · acceleration +0.82 · vol ratio 0.28 |
Backtest
| Metric | Value |
|---|
| Win rate | 69.23% — 9W / 4L over 13 trades |
| Sharpe | 2.14 |
| Total return | +0.81% |
| Max drawdown | 0.97% |
Pair Analysis: Long SKHY / Short AMAT
- Roll Z-Score (1h): 1.72 (Snapshot: 1.3h old)
- Roll Z-Score (4h): 0.94 (Snapshot: 7.3h old)
- Correlation: 0.61 (1h) / 0.69 (4h)
- Half-Life: 15h (1h) / 5h (4h)
- Hedge Ratio (4h): 0.757 (Sizing: 43.1% SKHY / 56.9% AMAT)
Analysis:
- Directional Alignment: The user-specified direction (Long SKHY / Short AMAT) is aligned with the quant-optimal direction. The positive z-score (1.72) indicates that AMAT is currently rich relative to SKHY, supporting a mean-reversion trade (short the rich asset, long the cheap one).
- Signal Strength: The 1h z-score of 1.72 is elevated, suggesting a strong statistical divergence. However, note that the 1h snapshot is ~1.3 hours old; verify recent price action to ensure the divergence hasn't already begun to close.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Execution: Both assets are available on Hyperliquid (xyz deployer).
SKHY
AMAT