Z-score (-1.32) is too close to the mean to be considered for a trade.
long spread · 5× leverage · regime IDLE (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.32 |
| Z-score | -1.98 at entry |
| Correlation | 0.71 · cointegrated |
| Half-life | 1.0h |
| Hurst | 0.87 |
| Hedge ratio | 1.53 · long-term beta 1.08 |
| Beta stability | stable · current 1.53 · range 0.34–2.07 · 0 sign changes |
| Lead–lag peak corr | 0.71 |
| Pair volatility | 37.30% |
| Momentum | z-velocity -0.04 · acceleration +0.03 · vol ratio 0.42 |
Backtest
| Metric | Value |
|---|
| Win rate | 78.95% — 15W / 4L over 19 trades |
| Sharpe | 5.07 |
| Total return | +2.95% |
| Max drawdown | 1.14% |
DRAM
LRCX