Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.77 · Cointegrated: yes
Z-score: -2.08 entry / -2.26 rolling
Half-life 0.6h · Hurst 0.85 · Hedge ratio 0.81
Pair volatility: 29.65%
Backtest: 75.00% win · Sharpe 3.70 · 0.78% return · 0.49% max drawdown
Pair Analysis: Long GLW / Short MRVL
- Roll Z-Score (1h): -2.26 (GLW is statistically cheap relative to MRVL on the 1h timeframe)
- Roll Z-Score (4h): -0.06
- Roll Z-Score (1d): -0.60
- Correlation: 0.77 (1h)
- Hedge Weights (4h): 49.8% GLW / 50.2% MRVL
Analysis:
- Mean Reversion: The 1h Z-score of -2.26 indicates a significant divergence where GLW is currently undervalued relative to MRVL. This setup aligns with a mean-reversion strategy (Long GLW / Short MRVL).
- Timeframe Divergence: The 1h signal is strong, but the 4h and 1d Z-scores are near neutral, suggesting the divergence is a short-term phenomenon rather than a long-term trend.
- Execution Note: These assets are listed on different deployers (
para:GLW and xyz:MRVL). They are not cross-margined by default; you will need to ensure you have sufficient collateral (USDC) available on both the para and xyz DEXs to open this pair.
- Sentiment: No specific sentiment data is available for these assets at this time.
GLW
MRVL