Pair is strongly diverging away from the mean. High risk of further deviation.
long spread · 5× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.86 |
| Z-score | -1.86 at entry · -1.48 pair |
| Correlation | 0.65 · cointegrated |
| Half-life | 0.9h |
| Hurst | 0.90 |
| Hedge ratio | 0.48 · long-term beta 0.62 |
| Beta stability | stable · current 0.48 · range 0.20–2.38 · 0 sign changes |
| Lead–lag peak corr | 0.65 |
| Pair volatility | 40.62% |
| Momentum | z-velocity -0.73 · acceleration -0.37 · vol ratio 0.42 |
Backtest
| Metric | Value |
|---|
| Win rate | 78.57% — 11W / 3L over 14 trades |
| Sharpe | 4.72 |
| Total return | +2.80% |
| Max drawdown | 0.98% |
Pair Analysis: Long DRAM / Short GLW
- Roll Z-Score (1h): -1.86 (Snapshot ~1.3h old)
- Roll Z-Score (4h): -1.11 (Snapshot ~5.3h old)
- Correlation: 0.65 (1h)
- Half-Life: 22h (1h timeframe)
- Hedge Weights (4h): 60.0% DRAM / 40.0% GLW
Analysis & Sentiment:
- Setup: The pair is currently trading at a significant discount (Z-score of -1.86 on the 1h timeframe), suggesting the spread is "cheap" relative to its recent mean. This aligns with a mean-reversion strategy of going Long DRAM / Short GLW.
- Conviction: The 1h Z-score indicates a strong divergence, though the 4h and 1d Z-scores are less extreme, suggesting the move may be relatively recent. The 1h half-life of ~22 hours implies a moderate speed of mean reversion.
- Sentiment: No specific sentiment data is currently available for DRAM or GLW.
- Note: The 1h Z-score is a snapshot; verify current price action, as a significant move intraday could impact the validity of the Z-score. The 4h hedge weights (60/40) are recommended for sizing.
DRAM
GLW