Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.70 · Cointegrated: yes
Z-score: -1.50 entry / -2.34 rolling
Half-life 0.7h · Hurst 0.83 · Hedge ratio 1.25
Pair volatility: 52.17%
Backtest: 50.00% win · Sharpe 2.85 · 1.13% return · 1.57% max drawdown
Pair Analysis: Long SKHY / Short SMSN
- Roll Z-Score (1h): -2.34 (Snapshot 1.3h old)
- Roll Z-Score (4h): -0.32 (Snapshot 6.3h old)
- Correlation: 0.70 (1h) / 0.77 (4h)
- Cointegration: True
- Hedge Ratio (4h): 1.275 (44% SKHY / 56% SMSN)
Analysis:
- Mean Reversion: The 1h z-score of -2.34 indicates a strong short-term statistical divergence where SKHY is currently "cheap" relative to SMSN. The 4h z-score is more neutral, suggesting the longer-term relationship remains stable.
- Setup: The pair is cointegrated, supporting a mean-reversion strategy. The 1h signal is aggressive, while the 4h signal suggests the pair is currently near its fair value.
- Sentiment: No specific sentiment data is available for these assets.
- Note: The 1h z-score is significantly more extreme than the 4h, suggesting the current divergence is a recent development. Ensure you are comfortable with the volatility of these specific assets, as the 1h z-score may be sensitive to intraday price action.
SKHY
SMSN