Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.68 · Cointegrated: yes
Z-score: 1.24 entry / 3.08 rolling
Half-life 1.0h · Hurst 0.87 · Hedge ratio 1.16
Pair volatility: 37.41%
Backtest: 72.73% win · Sharpe 2.77 · 0.77% return · 0.80% max drawdown
Pair Analysis: Long LRCX / Short DRAM
- Roll Z-Score (1h): 3.08 (DRAM is statistically rich vs LRCX)
- Roll Z-Score (4h): 0.10 (Neutral)
- Correlation: 0.68 (1h) / 0.73 (4h)
- Hedge Ratio (4h): 1.02 (1:1 sizing)
Analysis & Remark:
The 1h z-score of 3.08 indicates a significant short-term divergence where DRAM has outperformed LRCX, suggesting a potential mean-reversion opportunity to "Long LRCX / Short DRAM." However, the 4h z-score is near neutral (0.10), implying this is a short-term tactical setup rather than a deep structural divergence.
Sentiment Note:
Sentiment for the DRAM sector (proxied by MU) remains bullish, driven by strong HBM demand and sold-out supply through 2026. Any trade against DRAM relies on the assumption that the current sector-wide AI reset will disproportionately impact memory pricing relative to semiconductor equipment providers like Lam Research (LRCX). Given the bullish sector sentiment, this trade carries higher directional risk; ensure tight risk management if the 1h divergence fails to hold.
LRCX
DRAM