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 | -2.90 |
| Z-score | -1.54 at entry |
| Correlation | 0.78 · cointegrated |
| Half-life | 0.8h |
| Hurst | 0.88 |
| Hedge ratio | 1.39 · long-term beta 1.74 |
| Beta stability | stable · current 1.39 · range 0.59–2.60 · 0 sign changes |
| Lead–lag peak corr | 0.78 |
| Pair volatility | 27.14% |
| Momentum | z-velocity -2.56 · acceleration -1.78 · vol ratio 0.36 |
Backtest
| Metric | Value |
|---|
| Win rate | 76.92% — 10W / 3L over 13 trades |
| Sharpe | 3.92 |
| Total return | +1.25% |
| Max drawdown | 0.41% |
Pair Analysis: Long LRCX / Short SMH
This pair is currently showing a strong mean-reversion signal on the 1h timeframe, indicating that LRCX has diverged significantly to the downside relative to the broader semiconductor index (SMH).
Statistical Diagnostics
- 1h Roll Z-Score: -2.90 (Strongly "cheap" LRCX vs. SMH; fresh signal, ~1.4h old)
- 4h Roll Z-Score: -0.32
- 1d Roll Z-Score: -0.71
- Correlation: 0.78 (1h) to 0.92 (1d)
- Hedge Weights (4h): 39.7% LRCX / 60.3% SMH
Analysis & Sentiment
- Setup: The 1h z-score of -2.90 is the primary driver here, suggesting a sharp, short-term dislocation where LRCX has underperformed the sector index. The 4h and 1d z-scores are less extreme, implying this is a recent intraday divergence rather than a long-term structural breakdown.
- Sector Context: The semiconductor sector is currently bifurcated. While AI-focused names remain resilient, legacy and memory-exposed names (like LRCX) are facing heightened sensitivity to margin risks and cyclical demand concerns.
- Trade Note: The trade aligns with the quant-optimal direction (Long LRCX / Short SMH). Given the 1h z-score extremity, this is a mean-reversion play betting that the recent relative weakness in LRCX is overextended compared to the broader SMH basket.
Note: Both assets are available on Hyperliquid (LRCX on para, SMH on xyz). Ensure both legs are funded in their respective collateral stables if trading in standard account mode.
LRCX
SMH