Relative-value pair scoring: the original DNN against statistical gates,
graded out of sample.
Each row below is a pair of corporate bonds from different issuers in
the same sector with closely matched duration. The buy leg is the bond
with the wider spread over Treasuries; the sell leg is the tighter one.
A pair "compresses" if that spread gap tightens by more than 3 bps over the next 30 trading days. Three models pick pairs
from the 5,842 scored on 2026-11-09, and you can
switch between them.
Stationary. Z-score of the spread gap at least 1.5 and mean reversion at least 5 bps. 1,388 pairs picked.
ADF. Stationary gate, plus an ADF test on the 90-day spread gap with p below 0.05. 227 pairs picked.
DNN. KatanaDNN probability of compression above 0.5, ranked by that probability. 2,081 pairs picked.
819 pairs are picked by both the Stationary gate and the DNN. A pair
picked by more than one model carries a badge for each. Each model's list
shows its top 50.
What the test says
The models were graded on 62,500 same-sector pairs across 125 dates from 2026-04-01 on, none of which were used in training. Half
of all pairs compress (50.0%). The statistical gates do no
better than that: 48.1% for the Stationary gate and
48.5% with the ADF test added. The DNN's picks compress
54.9% of the time, and 59.7% when the
Stationary gate also agrees. The DNN's AUC is 0.537. That
is a real but thin edge, and this page is about measuring it honestly,
not about claiming a trading strategy.
Pairs on 2026-11-09
Model
KatanaDNN probability of compression above 0.5, ranked by that probability.
Showing top 50 of 2,081 pairs picked on 2026-11-09
Out-of-sample precision
Test from 2026-04-01 · 62,500 pairs · 125 dates · AUC 0.537. Precision is the share of selected pairs that compressed.
Selection
Precision
All pairs
50.0%
Stationary gate
48.1%
ADF + gate
48.5%
▸DNN p > 0.5 (selected model)
54.9%
DNN p > 0.5 + gate
59.7%
Pairs
Buy leg / Sell leg
Sector
Dur.
Z-score
Mean rev.
ADF p
DNN p▼
Gap (bp)
Picked by
▼Buy: PRA GROUP INC 5.000% 10/2029Sell: ENCORE CAPITAL GROUP INC 6.630% 04/2031