long spread · 5× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -3.27 |
| Z-score | -1.56 at entry · -0.17 pair |
| Correlation | 0.84 · cointegrated |
| Half-life | 0.9h |
| Hurst | 0.87 |
| Hedge ratio | 1.40 · long-term beta 1.14 |
| Beta stability | stable · current 1.40 · range 0.45–1.74 · 0 sign changes |
| Lead–lag peak corr | 0.84 |
| Pair volatility | 38.16% |
Backtest
| Metric | Value |
|---|
| Win rate | 70.59% — 12W / 5L over 17 trades |
| Sharpe | 3.96 |
| Total return | +2.02% |
| Max drawdown | 0.82% |
- Pair: Long AAOI / Short COHR
- Roll Z-Score: -4.74 (1h; snapshot age ~1.2h)
- 1h stats: Z-score -1.56, correlation 0.83, cointegration true, half-life ~21h
- 4h stats: Z-score -0.54, correlation 0.84, cointegration false, half-life ~33h
- 1d stats: Z-score 0.35, correlation 0.88, cointegration false, snapshot age ~1.9d
- Technical remark: The 1h data supports a potential short-horizon mean-reversion setup, but the edge is weakened by poor 4h/1d confirmation, high Hurst readings (0.86–0.87), and conflicting longer-timeframe direction.
- Sizing reference: 4h hedge weights — 45% AAOI / 55% COHR.
- News/sentiment: No recent 7-day news or sentiment data returned for either ticker; catalyst risk cannot be assessed.
- Venue: Both listed on Hyperliquid’s
para venue, USDC collateral, 10x max leverage each.
- Overall: Tactical, low-to-moderate conviction; not a clean multi-timeframe pair trade.
AAOI
COHR