long spread · 18× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -0.30 |
| Z-score | -1.82 at entry · -1.67 pair |
| Correlation | 0.69 · cointegrated |
| Half-life | 4.1h |
| Hurst | 0.89 |
| Hedge ratio | 1.37 · long-term beta 0.97 |
| Beta stability | stable · current 1.37 · range 0.07–1.76 · 0 sign changes |
| Lead–lag peak corr | 0.69 |
| Pair volatility | 28.19% |
Backtest
| Metric | Value |
|---|
| Win rate | 78.57% — 11W / 3L over 14 trades |
| Sharpe | 3.65 |
| Total return | +2.02% |
| Max drawdown | 0.84% |
FIL
ZEN