Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -1.31 entry / -2.12 rolling
Half-life 1.5h · Hurst 0.87 · Hedge ratio 4.39
Pair volatility: 49.37%
Backtest: 50.00% win · Sharpe -0.57 · -0.44% return · 2.56% max drawdown
Pair Analysis: Long AAOI / Short USTECH
- Status: Active Signal (Rank 2)
- Roll Z-Score (1h): -2.12 (indicates AAOI is statistically cheap relative to USTECH)
- Correlation: 0.73
- Cointegration: True (1h timeframe)
- Half-Life: 36h (~1.5 days)
- Hedge Weights (4h): 17.2% Long AAOI / 82.8% Short USTECH
- Sentiment: No specific sentiment data available for these assets.
Note: The 1h roll z-score of -2.12 suggests a strong mean-reversion opportunity, as AAOI is currently trading at a significant discount relative to the USTECH index. The pair shows cointegration on the 1h timeframe, supporting the mean-reversion thesis. Ensure sizing aligns with the 4h hedge weights (17.2%/82.8%) to mitigate noise from the 1h timeframe.
AAOI
USTECH