Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -2.17 entry / -2.16 rolling
Half-life 0.6h · Hurst 0.89 · Hedge ratio 1.03
Pair volatility: 31.97%
Backtest: 80.00% win · Sharpe 6.64 · 2.05% return · 0.92% max drawdown
Pair Analysis: Long COHR / Short DRAM
- Roll Z-Score (1h): -2.16
- Correlation: 0.72
- Half-Life: 13h (~0.6d)
- Hedge Ratio (4h): 0.92 (Long 52% / Short 48%)
Setup Remark:
The pair is currently showing a strong mean-reversion signal with a 1h Roll Z-Score of -2.16, indicating that COHR is statistically "cheap" relative to DRAM. The 13-hour half-life suggests a relatively fast expected reversion to the mean. While sentiment data is currently unavailable for these assets, the technical setup is compelling for a mean-reversion play, as the Z-score has pushed beyond the typical -2.0 threshold.
Note: The 1h Z-score is a snapshot (~1.3h old); verify recent price action to ensure the divergence hasn't been driven by a fundamental shift.
COHR
DRAM