Correlation: 0.67 · Cointegrated: yes
Z-score: -0.14 entry / -1.56 rolling
Half-life 0.6h · Hurst 0.90 · Hedge ratio 0.83
Pair volatility: 30.55%
Backtest: 77.78% win · Sharpe 3.28 · 1.21% return · 1.05% max drawdown
Pair Analysis: Long COHR / Short INTC
- Roll Z-Score (1h): -3.49 (COHR is statistically "cheap" relative to INTC on a short-term basis)
- Roll Z-Score (4h): 1.01 (COHR is statistically "rich" relative to INTC on a medium-term basis)
- Correlation: 0.67
- Hedge Ratio (4h): 0.784 (Sizing: ~56% COHR / ~44% INTC)
Analysis & Sentiment:
- Divergence: The pair shows significant signal divergence between timeframes. The 1h z-score (-3.49) suggests a strong mean-reversion opportunity to the upside for the spread (Long COHR / Short INTC), but the 4h z-score (1.01) indicates the pair is currently extended in the opposite direction. This suggests high intraday volatility in the spread.
- Sentiment: INTC sentiment is bearish, with recent earnings beats being faded by the market and ongoing concerns regarding foundry operating losses. No specific sentiment data is available for COHR.
- Note: The 1h z-score is ~1.2 hours old; given the high volatility, verify current price action before entry. The trade aligns with the short-term mean-reversion signal but runs against the 4h trend.
COHR
INTC