Correlation: 0.67 · Cointegrated: yes
Z-score: 1.18 entry / 2.47 rolling
Half-life 0.7h · Hurst 0.93 · Hedge ratio 0.79
Pair volatility: 40.40%
Backtest: 77.78% win · Sharpe 7.08 · 1.51% return · 0.68% max drawdown
Pair Analysis: GLW / DRAM
- Roll Z-Score (1h): 2.59 (DRAM is statistically rich relative to GLW)
- Roll Z-Score (4h): 0.57
- Roll Z-Score (1d): -1.48
- Correlation: 0.67 (1h)
- Half-Life: 16h (1h timeframe)
Analysis:
- Mean Reversion: The 1h z-score of 2.59 indicates that DRAM is currently extended to the upside relative to GLW. Your proposed trade (Long GLW / Short DRAM) aligns with a mean-reversion strategy, betting that the spread will contract as DRAM reverts toward its historical mean against GLW.
- Timeframe Divergence: Note the significant divergence across timeframes: the 1h z-score suggests a strong mean-reversion opportunity, while the 1d z-score (-1.48) suggests the pair has been trending in the opposite direction over the longer term. This indicates high intraday volatility and potential noise in the 1h signal.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Execution Note: Ensure you are monitoring the 1h spread closely, as the 16h half-life suggests the mean-reversion process is relatively slow. The 1d z-score suggests caution, as the longer-term trend may be working against the immediate mean-reversion setup.
GLW
DRAM