Correlation: 0.62 · Cointegrated: yes
Z-score: -1.06 entry / -2.64 rolling
Half-life 0.8h · Hurst 0.87 · Hedge ratio 0.89
Pair volatility: 41.62%
Backtest: 61.54% win · Sharpe 2.75 · 1.00% return · 0.90% max drawdown
Pair Analysis: KR200 / LRCX
- Roll Z-Score (1h): -3.32
- Roll Z-Score (4h): -2.48
- Correlation: 0.61 (1h)
- Half-Life: 20h (1h timeframe)
Remark:
The pair is currently showing a significant statistical divergence, with a 1h Roll Z-Score of -3.32 indicating that KR200 is historically "cheap" relative to LRCX. The trade setup (Long KR200 / Short LRCX) aligns with a mean-reversion strategy, betting on the spread narrowing as KR200 potentially recovers or LRCX corrects. Note that the 1h Z-score is ~1.2 hours old; verify current price action to ensure the divergence hasn't already begun to close. The 20h half-life suggests a moderate-term reversion window.
KR200
LRCX