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: -2.10 entry / -4.37 rolling
Half-life 0.6h · Hurst 0.91 · Hedge ratio 1.16
Pair volatility: 33.61%
Backtest: 69.23% win · Sharpe 2.55 · 0.83% return · 1.08% max drawdown
Pair Analysis: Long COHR / Short EWY
This setup is currently showing a significant short-term divergence on the 1-hour timeframe, while longer-term metrics remain relatively neutral.
- 1h Roll Z-Score: -4.37 (Strong mean-reversion signal; COHR is statistically "cheap" relative to EWY on this timeframe).
- 4h Roll Z-Score: 0.55 (Neutral; indicates the 1h extreme may be a short-term volatility spike).
- 1d Roll Z-Score: -0.95 (Slightly cheap).
- Correlation: 0.61–0.69 (Moderate positive correlation across timeframes).
- Hedge Weights (4h): 42.0% COHR / 58.0% EWY.
Remark:
The 1-hour z-score of -4.37 is a high-conviction statistical signal suggesting COHR has decoupled to the downside relative to EWY. However, because the 4-hour and 1-day z-scores are near neutral, this trade is best viewed as a short-term mean-reversion play rather than a structural trend reversal. The 1-hour snapshot is ~1.3 hours old; verify current price action to ensure the divergence hasn't already begun to close before entering.
COHR
EWY