Z-score (1.26) is too close to the mean to be considered for a trade.
short spread · 20× leverage · regime IDLE (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 1.26 |
| Z-score | 2.53 at entry |
| Correlation | 0.85 · cointegrated |
| Half-life | 2.0h |
| Hurst | 0.87 |
| Hedge ratio | 0.51 · long-term beta 0.51 |
| Beta stability | stable · current 0.85 · range 0.05–1.12 · 0 sign changes |
| Lead–lag peak corr | 0.85 |
| Pair volatility | 11.74% |
| Momentum | z-velocity +0.03 · acceleration +0.12 · vol ratio 0.55 |
Backtest
| Metric | Value |
|---|
| Win rate | 78.57% — 11W / 3L over 14 trades |
| Sharpe | 2.25 |
| Total return | +1.45% |
| Max drawdown | 0.81% |
SNDK
MU