Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.79 · Cointegrated: yes
Z-score: -1.37 entry / -1.74 rolling
Half-life 1.2h · Hurst 0.86 · Hedge ratio 2.18
Pair volatility: 30.82%
Backtest: 75.00% win · Sharpe 1.99 · 0.75% return · 1.32% max drawdown
Pair Analysis: Long COHR / Short SMH
- Roll Z-Score: -1.74 (1h) / -1.32 (4h)
- Correlation: 0.79 (1h)
- Hedge Ratio: ~1.93 (4h)
- Status: The pair is currently showing a mean-reversion signal favoring a Long COHR / Short SMH position, as the negative Z-score indicates COHR is statistically "cheap" relative to the SMH semiconductor basket.
Remark:
This setup is aligned with the quant-optimal direction. Note that COHR trades on the para deployer (USDC collateral) and SMH trades on the xyz deployer (USDC collateral). Since both legs utilize USDC, they are compatible for a single-margin trade, but ensure your account has sufficient USDC available across the unified margin pool to cover both legs. Sentiment data is currently unavailable for these specific assets; monitor semiconductor sector volatility, as SMH exposure can be sensitive to broader macro-tech news.
COHR
SMH