Pair is strongly diverging away from the mean. High risk of further deviation.
long spread · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.99 |
| Z-score | -1.95 at entry |
| Correlation | 0.72 · cointegrated |
| Half-life | 1.0h |
| Hurst | 0.86 |
| Hedge ratio | 1.10 · long-term beta 1.15 |
| Beta stability | stable · current 1.10 · range 0.46–1.86 · 0 sign changes |
| Lead–lag peak corr | 0.72 |
| Pair volatility | 44.68% |
| Momentum | z-velocity -0.03 · acceleration -0.08 · vol ratio 0.50 |
Backtest
| Metric | Value |
|---|
| Win rate | 54.55% — 6W / 5L over 11 trades |
| Sharpe | 2.86 |
| Total return | +1.47% |
| Max drawdown | 1.57% |
- Pair: Long
xyz:SKHY / Short xyz:SMSN
- Venue: Both listed on Hyperliquid; USDC collateral; max leverage 10x per leg
- Roll Z-Score: -1.99 (1h), -2.16 (4h), -1.82 (1d)
- Correlation: 0.72 (1h), 0.79 (4h), 0.94 (1d)
- Cointegration: True on 1h/4h; false on 1d
- Half-life: 24h (1h), 7h (4h), 4h (1d)
- Hurst: 0.86 (1h), 0.84 (4h), 0.50 (1d)
- Hedge ratio: 1.10 (1h), 1.12 (4h), 1.17 (1d)
- Sizing weights: 4h preferred — 47.2% SKHY / 52.8% SMSN; 1d: 46.0% / 54.0%
- Technical/statistical remark: The spread is near typical entry territory around ±2σ, with 1h/4h cointegration supporting mean reversion. However, high Hurst values and the failed 1d cointegration test weaken conviction; the 1d snapshot is also ~1.3 days old.
- News/sentiment: Recent-news/sentiment data could not be retrieved; no verified catalyst or sentiment tilt is available.
- Risk note: Quant statistics support the stated Long SKHY / Short SMSN direction, but the setup is not high-conviction because longer-term regime confirmation is absent.
SKHY
SMSN