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John Shelburne

Katana

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.

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.
SelectionPrecision
All pairs50.0%
Stationary gate48.1%
ADF + gate48.5%
DNN p > 0.5 (selected model)54.9%
DNN p > 0.5 + gate59.7%

Pairs

Buy leg / Sell legSectorDur.Z-scoreMean rev.ADF pDNN pGap (bp)Picked by
Buy: PRA GROUP INC 5.000% 10/2029Sell: ENCORE CAPITAL GROUP INC 6.630% 04/2031Financial OtherBuy: 2.63Sell: 3.043.7469 bp0.9940.898131StationaryDNN

Pair detail · Financial Other · as of 2026-11-09

DNN p
0.898
Z-score
3.74
Mean rev.
69 bp
ADF p
0.994
Gap
130.9 bp
90-day mean
23.4 bp
Picked byStationaryDNN

Buy leg

PRA GROUP

PRA GROUP INC 5.000% 10/2029

Issuer
PRA GROUP
Name
PRA GROUP INC
CUSIP
69354NAD8
ISIN
US69354NAD84
Coupon
5.000%
Maturity
01 Oct 2029
YTM
7.91%
Duration
2.63
Price
92.59
Sector
Financial Other

Sell leg

ENCORE CAPITAL

ENCORE CAPITAL GROUP INC 6.630% 04/2031

Issuer
ENCORE CAPITAL
Name
ENCORE CAPITAL GROUP INC
CUSIP
292554AS1
ISIN
US292554AS19
Coupon
6.630%
Maturity
15 Apr 2031
YTM
6.61%
Duration
3.04
Price
100.06
Sector
Financial Other
Spread difference buy minus sell, bp, 90 daysDifference90-day meanMean ± 1 SD
AugSepOctNov050100bp130.923.4
Spread Spread over Treasury (bps), 90 daysBuy legSell legGap
AugSepOctNov200250300bp333.7202.8

Limits

This page demonstrates a method. It is not investment advice.