Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: -1.69 entry / -1.52 rolling
Half-life 0.6h · Hurst 0.89 · Hedge ratio 1.22
Pair volatility: 40.73%
Backtest: 72.73% win · Sharpe 2.30 · 0.77% return · 1.22% max drawdown
Pair Analysis: Long COHR / Short SMSN
This setup is a mean-reversion play targeting the current spread divergence.
- Roll Z-Score (1h): -1.52
- Roll Z-Score (4h): -0.60
- Correlation: 0.61 (1h)
- Cointegration: True
- Hedge Ratio (4h): 1.135 (46.8% COHR / 53.2% SMSN)
Technical Context:
The 1h z-score of -1.52 indicates that COHR is currently statistically "cheap" relative to SMSN compared to their historical mean. The cointegration is confirmed, supporting the validity of the pair relationship. The 1h snapshot is relatively fresh (~1.3h old), though the 4h z-score (-0.60) suggests the divergence is less pronounced on a slightly longer timeframe.
Sentiment & News:
No specific sentiment data is available for these assets at this time.
Note:
The trade aligns with the mean-reversion signal (longing the relatively undervalued asset, COHR, against the overvalued one, SMSN). Ensure you monitor for any significant intraday price moves that may have occurred since the 1h snapshot, as the z-score is a lagging indicator.
COHR
SMSN