Z-score (1.48) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: 1.76 entry / 1.48 rolling
Half-life 0.6h · Hurst 0.85 · Hedge ratio 1.81
Pair volatility: 35.39%
Backtest: 66.67% win · Sharpe 1.52 · 0.40% return · 1.08% max drawdown
Pair Analysis: Long EWY / Short COHR
This setup aligns with mean-reversion pressure, as the pair is currently trading at an elevated spread.
- Roll Z-Score (1h): +1.48 (COHR is rich relative to EWY)
- Roll Z-Score (4h): +0.83
- Roll Z-Score (1d): +0.04
- Correlation: 0.61 (1h)
- Half-Life: 16h (1h timeframe)
Analysis:
- Directional Alignment: The 1h roll z-score of +1.48 indicates that COHR is statistically "rich" relative to EWY. Your chosen direction (Long EWY / Short COHR) is the mean-reversion play, betting on the spread to contract as COHR potentially underperforms or EWY recovers.
- Timeframe Divergence: The z-score is significantly higher on the 1h timeframe (+1.48) compared to the 1d timeframe (+0.04). This suggests the current "richness" of COHR is a shorter-term deviation rather than a long-term structural shift.
- Sentiment: No specific sentiment data is available for these assets.
- Note: The 1h z-score snapshot is ~1.3 hours old. Given the high z-score, verify if there has been a significant intraday move in either asset that might have already compressed the spread before entering.
EWY
COHR