Correlation: 0.82 · Cointegrated: yes
Z-score: 1.05 entry / 1.72 rolling
Half-life 2.5h · Hurst 0.91 · Hedge ratio 0.60
Pair volatility: 36.52%
Backtest: 68.00% win · Sharpe 0.10 · 0.05% return · 2.08% max drawdown
Pair Analysis: SNDK / DRAM
- Roll Z-Score: 2.47 (1h) | 1.35 (4h) | 0.57 (1d)
- Correlation: 0.82 (1h)
- Hedge Ratio: 0.52 (4h)
- Cointegration: True (1h)
Analysis:
- Mean Reversion Signal: The 1h Roll Z-Score of 2.47 indicates a significant divergence, with DRAM currently trading rich relative to SNDK. This supports the mean-reversion thesis for your Long SNDK / Short DRAM setup.
- Alignment: Your chosen direction (Long SNDK / Short DRAM) is quant-optimal, aligning with the statistical expectation that the spread will contract as DRAM mean-reverts against SNDK.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Technical Note: The 1h Z-score is snapshot-based and ~1.2 hours old; verify current price action to ensure the divergence has not already begun to close before entry. The 4h hedge ratio (0.52) is recommended for sizing.
SNDK
DRAM