Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.75 · Cointegrated: yes
Z-score: -1.59 entry / -1.61 rolling
Half-life 0.5h · Hurst 0.84 · Hedge ratio 1.00
Pair volatility: 34.34%
Backtest: 87.50% win · Sharpe 3.63 · 0.70% return · 0.70% max drawdown
Pair Analysis: Long COHR / Short MU
- Roll Z-Score: -1.61 (1h) | -1.06 (4h) | -1.20 (1d)
- Interpretation: The spread is currently trading below its mean, indicating COHR is statistically "cheap" relative to MU. The negative z-score aligns with your Long COHR / Short MU direction, suggesting the trade is positioned to capture mean reversion as the spread widens back toward the mean.
- Correlation: 0.75 (1h) | 0.67 (4h) | 0.73 (1d)
- Hedge Weights (4h): 47% COHR / 53% MU
- Sentiment Context:
- MU: Bullish. Micron recently reported record Q3 revenue and EPS beats, with HBM (High Bandwidth Memory) capacity sold out through 2026. Market sentiment views recent price dips as a sector-wide AI reset rather than company-specific weakness, with the stock trading at a low forward P/E.
- COHR: No specific sentiment data available.
- Setup Remark: This is a mean-reversion setup where you are betting on COHR catching up to MU. While the statistical signal (z-score) supports the long-COHR/short-MU bias, be mindful that MU's fundamental momentum (HBM demand) is strong. The trade relies on the spread mean-reverting rather than MU continuing to outperform on its own fundamental strength.
Note: Z-scores are snapshots (1h age). Verify recent price action to ensure the spread hasn't diverged further since the last update.
COHR
MU