long spread
Signal
| Metric | Value |
|---|
| Rolling z-score | -0.09 |
| Z-score | -2.86 at entry · -2.67 pair |
| Correlation | 0.68 · cointegrated |
| Half-life | 2.3h |
| Hurst | 0.93 |
| Hedge ratio | 0.82 · long-term beta 1.76 |
| Beta stability | stable · current 0.82 · range 0.13–5.07 · 0 sign changes |
| Lead–lag peak corr | 0.68 |
| Pair volatility | 24.13% |
Backtest
| Metric | Value |
|---|
| Win rate | 65.38% — 17W / 9L over 26 trades |
| Sharpe | 2.38 |
| Total return | +1.37% |
| Max drawdown | 1.30% |
Pair Analysis: Long ASML / Short XYZ100
- Roll Z-Score: -2.37 (1h), -2.17 (4h), -1.04 (1d)
- Correlation: 0.68 (1h) to 0.80 (1d)
- Hedge Ratio (4h): 1.64 (ASML:XYZ100)
- Quant-Optimal Direction: Long ASML / Short XYZ100 (Aligned with your stated direction)
Remark:
This setup is statistically compelling from a mean-reversion perspective, as the negative z-scores indicate ASML is currently "cheap" relative to XYZ100. However, exercise caution: XYZ100 is exhibiting strong bullish sentiment following a recent earnings beat and raised guidance. While the statistical signal supports your long/short direction, the fundamental momentum behind XYZ100 may act as a headwind, potentially delaying the mean reversion. Ensure your risk management accounts for this divergence.
ASML
XYZ100