Z-score (-1.23) is too close to the mean to be considered for a trade.
long spread · regime IDLE (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.23 |
| Z-score | -1.90 at entry |
| Correlation | 0.62 · cointegrated |
| Half-life | 0.9h |
| Hurst | 0.86 |
| Hedge ratio | 1.01 · long-term beta 1.08 |
| Beta stability | stable · current 1.01 · range 0.14–1.69 · 0 sign changes |
| Lead–lag peak corr | 0.62 |
| Pair volatility | 40.94% |
| Momentum | z-velocity +0.13 · acceleration +0.04 · vol ratio 0.33 |
Backtest
| Metric | Value |
|---|
| Win rate | 64.29% — 9W / 5L over 14 trades |
| Sharpe | 2.03 |
| Total return | +1.05% |
| Max drawdown | 0.90% |
- Pair: Long
xyz:KR200 / Short para:LRCX
- Venue: Both listed on Hyperliquid; USDC collateral
- Roll Z-Score: -1.23 (1h; snapshot ~1.3h old)
- Statistical setup:
- 1h: Z -1.90, correlation 0.62, cointegration true, half-life 21h, Hurst 0.86
- 4h: Z -1.75, correlation 0.68, cointegration true, half-life 9h, Hurst 0.88
- 1d: Z -1.88, correlation 0.84, cointegration false, snapshot ~1.2d old
- Hedge ratio: 4h 1.113
- Sizing weights: 4h — 47.3% KR200 / 52.7% LRCX
- Sentiment/news: No direct KR200, LRCX, or South Korea-specific sentiment/news returned. Broader HIP-3 chip context is mixed; the index-basket context is bearish, citing technology rotation and elevated short interest.
- Technical/statistical remark: The 1h/4h spread is meaningfully stretched and cointegrated, supporting a potential mean-reversion trade, but the high Hurst readings (0.86–0.88) warn that divergence may persist. The failed 1d cointegration result and stale 1d snapshot weaken higher-timeframe conviction.
- Bias: Cautious, tactical Long KR200 / Short LRCX; attractive only with controlled risk and confirmation that the spread is reverting.
KR200
LRCX