Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.77 · Cointegrated: yes
Z-score: -1.33 entry / -1.80 rolling
Half-life 1.3h · Hurst 0.87 · Hedge ratio 2.12
Pair volatility: 29.43%
Backtest: 72.73% win · Sharpe 0.82 · 0.29% return · 1.32% max drawdown
Pair Analysis: Long COHR / Short SMH
- Roll Z-Score: -1.80 (1h) / -1.85 (4h)
- Correlation: 0.77 (1h)
- Hedge Ratio: 2.12 (1h) / 1.83 (4h)
- Half-Life: 31h (1h) / 17h (4h)
Analysis:
- Mean Reversion: The pair is currently showing a significant negative z-score (-1.80), indicating that COHR is statistically "cheap" relative to the SMH semiconductor basket. The trade setup (Long COHR / Short SMH) aligns with a mean-reversion strategy, betting on the spread widening back toward the mean.
- Technical Context: The 1h and 4h z-scores are well outside the standard deviation bands, suggesting an oversold condition for the spread. The 1h half-life of ~31 hours suggests a moderate-term reversion window.
- Execution Note: Both assets are available on Hyperliquid (COHR on
para, SMH on xyz). Note that these assets reside on different deployers, meaning they do not share a unified collateral pool unless your account mode supports cross-DEX margin. Ensure both para and xyz collateral requirements are met.
- Sentiment: No specific sentiment data is currently available for this pair. Monitor semiconductor sector news, as SMH is highly sensitive to broader chip-sector volatility and macro-driven flows which may override the statistical mean-reversion signal.
COHR
SMH