Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -1.98 entry / -3.30 rolling
Half-life 0.6h · Hurst 0.89 · Hedge ratio 0.93
Pair volatility: 29.30%
Backtest: 76.92% win · Sharpe 5.08 · 1.31% return · 0.92% max drawdown
Analysis of the Long COHR / Short DRAM pair:
- Roll Z-Score: -3.30 (1h)
- Correlation: 0.72
- Half-Life: 15h (~0.6d)
- Hedge Ratio: 0.925 (4h weights: 53.8% / 46.2%)
Setup Remark:
This pair is currently showing a strong mean-reversion signal on the 1h timeframe, with a roll Z-score of -3.30 indicating the spread is significantly "cheap" (below its mean). The 15-hour half-life suggests a relatively fast expected reversion, though the 4h Z-score (-0.40) is much closer to neutral, implying the divergence is primarily a short-term intraday phenomenon rather than a deep structural breakdown.
Note: This pair is not currently featured in the active live signals list. Sentiment data is unavailable for these assets. Ensure you are sizing based on the 4h hedge weights (53.8% / 46.2%) rather than the 1h weights to avoid noise.
COHR
DRAM