long spread · 5× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -0.80 |
| Z-score | -1.83 at entry · -1.53 pair |
| Correlation | 0.91 · cointegrated |
| Half-life | 2.8h |
| Hurst | 0.91 |
| Hedge ratio | 1.74 · long-term beta 1.51 |
| Beta stability | stable · current 1.74 · range 0.67–1.92 · 0 sign changes |
| Lead–lag peak corr | 0.91 |
| Pair volatility | 22.92% |
Backtest
| Metric | Value |
|---|
| Win rate | 67.86% — 19W / 9L over 28 trades |
| Sharpe | 2.28 |
| Total return | +1.19% |
| Max drawdown | 0.73% |
DRAM
EWY