Ratio Z-Score
Most stretched: IWM/SPY at -0.81σ.
▶ View the live, interactive version with full charts →
Multi-pair (QQQ/SPY, OEF/SPY, IWM/SPY, QQQ/IWM) rolling z-score sigma-band crossings.
- Tracking 4 ratio pairs since 2005-01-01.
- Most stretched: IWM/SPY at -0.81σ.
- After -2σ QQQ/SPY crossings: 3M QQQ avg +4.6%, 71% win rate (N=21).
- No extreme readings
QQQ/SPY
+0.00σ
ratio 0.9296
OEF/SPY
-0.48σ
ratio 0.4951
IWM/SPY
-0.81σ
ratio 0.3691
QQQ/IWM
+0.67σ
ratio 2.5187
When to run this study
Run when you suspect a ratio (e.g. QQQ/SPY) has become stretched historically. Best for identifying relative value setups and mean-reversion opportunities when a ratio reaches 2-3 standard deviations from its rolling mean.
Historical results
Forward Returns from σ Crossings — QQQ/SPY
| σ Threshold | N | 1W QQQ Avg | 1W QQQ Win% | 1W SPY Avg | 1W SPY Win% | 1M QQQ Avg | 1M QQQ Win% | 1M SPY Avg | 1M SPY Win% | 3M QQQ Avg | 3M QQQ Win% | 3M SPY Avg | 3M SPY Win% | 6M QQQ Avg | 6M QQQ Win% | 6M SPY Avg | 6M SPY Win% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| -3σ | 1 | -4.60 | 0 | -2.40 | 0 | -2.60 | 0 | 1 | 100 | 10.20 | 100 | 7.20 | 100 | 16.60 | 100 | 12.60 | 100 |
| -2σ | 21 | 1.60 | 71 | 1.30 | 76 | 2.20 | 71 | 2 | 71 | 4.60 | 71 | 3.60 | 71 | 8.70 | 71 | 6.70 | 76 |
| -1σ | 64 | 0.40 | 61 | 0.20 | 56 | 1.30 | 66 | 0.90 | 66 | 4.30 | 75 | 2.60 | 69 | 10.30 | 80 | 6.80 | 81 |