Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.70 · Cointegrated: yes
Z-score: -1.23 entry / -1.85 rolling
Half-life 1.7h · Hurst 0.91 · Hedge ratio 0.79
Pair volatility: 43.16%
Backtest: 61.11% win · Sharpe 0.22 · 0.13% return · 2.85% max drawdown
Pair Analysis: Long xyz:DRAM / Short xyz:WDC
This setup represents a mean-reversion trade, with DRAM currently appearing statistically cheap relative to WDC.
Technical Diagnostics
- 1h Roll Z-Score: -1.85 (Snapshot: ~1.2h old)
- 4h Roll Z-Score: -0.99 (Snapshot: ~6.2h old)
- 1d Roll Z-Score: -0.54 (Snapshot: ~1.6d old)
- Correlation: 0.70 (1h) to 0.76 (1d)
- Half-Life (1h): ~41 hours
Analysis
- Mean Reversion: The 1h Z-score of -1.85 indicates the spread is significantly below its rolling mean, suggesting
DRAM is oversold relative to WDC on a short-term basis. The 4h and 1d Z-scores confirm this divergence is consistent across multiple timeframes, though less extreme on the daily.
- Sentiment & News: I do not have access to real-time news or sentiment data for these assets. You should cross-reference this technical divergence with any sector-specific catalysts (e.g., memory chip supply/demand reports or Western Digital earnings/guidance) that may be driving the spread.
- Execution Note: The 1h Z-score is a snapshot; verify current spot prices to ensure the divergence has not closed significantly since the last update.
Note: This analysis is based on statistical snapshots and does not constitute financial advice.
DRAM
WDC