short spread
Signal
| Metric | Value |
|---|
| Rolling z-score | 2.61 |
| Z-score | 2.69 at entry · 1.12 pair |
| Correlation | 0.87 · cointegrated |
| Half-life | 0.7h |
| Hurst | 0.87 |
| Hedge ratio | 0.86 · long-term beta 0.78 |
| Beta stability | stable · current 0.86 · range 0.22–1.24 · 0 sign changes |
| Lead–lag peak corr | 0.87 |
| Pair volatility | 27.79% |
Backtest
| Metric | Value |
|---|
| Win rate | 72.41% — 21W / 8L over 29 trades |
| Sharpe | 2.88 |
| Total return | +1.34% |
| Max drawdown | 0.66% |
Pair Analysis: Long SMSN / Short EWY
This setup is a mean-reversion trade betting on the convergence of the spread between Samsung Electronics (SMSN) and the South Korea ETF (EWY).
- Roll Z-Score: 2.69 (1h) / 2.37 (4h)
- Interpretation: The spread is significantly extended to the upside (EWY is rich relative to SMSN). A z-score > 2.0 indicates a statistically significant deviation, supporting a mean-reversion entry (Long SMSN / Short EWY).
- Correlation: 0.87 (1h) / 0.90 (4h)
- Interpretation: Strong historical correlation, which is essential for a pair trade to function reliably.
- Half-Life: 17h (1h) / 6h (4h)
- Interpretation: The spread tends to revert to the mean relatively quickly, suggesting a short-to-medium-term holding period.
- Sentiment: No specific sentiment data available for SMSN or EWY.
Note: The 1h and 4h z-scores are snapshots; verify current price action, as a significant move in either asset since the last update could alter the spread's richness. The trade direction (Long SMSN / Short EWY) is aligned with the mean-reversion signal, as you are selling the relatively "rich" asset (EWY) and buying the "cheap" asset (SMSN).
SMSN
EWY