Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.62 · Cointegrated: yes
Z-score: -1.22 entry / -1.52 rolling
Half-life 1.0h · Hurst 0.94 · Hedge ratio 0.72
Pair volatility: 37.51%
Backtest: 81.82% win · Sharpe 5.25 · 2.32% return · 0.98% max drawdown
Pair Analysis: DRAM / GLW
- Roll Z-Score (1h): -1.52
- Roll Z-Score (4h): 0.03
- Roll Z-Score (1d): -0.02
- Correlation (1h): 0.62
- Hedge Ratio (4h): 0.593 (Long 59.3% DRAM / Short 40.7% GLW)
Analysis:
- Technical Setup: The 1h z-score of -1.52 indicates a short-term divergence where DRAM is statistically "cheap" relative to GLW. However, this mean-reversion signal is not supported by the 4h and 1d timeframes, which are currently trading near neutral (z-scores of 0.03 and -0.02). This suggests the current setup is a short-term tactical play rather than a structural mean-reversion opportunity.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Note: The 1h z-score is ~1.3 hours old; verify if significant price action has occurred since the last snapshot. The lack of cointegration on the 4h and 1d timeframes suggests caution, as the pair may not be mean-reverting over longer horizons.
DRAM
GLW