Correlation: 0.71 · Cointegrated: yes
Z-score: -2.14 entry / -0.93 rolling
Half-life 1.5h · Hurst 0.90 · Hedge ratio 0.48
Pair volatility: 39.59%
Backtest: 73.68% win · Sharpe 3.33 · 0.83% return · 0.58% max drawdown
Pair Analysis: Long SMH / Short WDC
This setup is currently showing a strong mean-reversion signal, with the spread between SMH and WDC trading at a significant discount.
- Roll Z-Score (1h): -2.91
- Correlation: 0.71
- Half-Life: 42h (~1.7 days)
- Hedge Weights (4h): 69.8% SMH / 30.2% WDC
Analysis:
- Mean Reversion: The 1h Roll Z-Score of -2.91 indicates that SMH is currently "cheap" relative to WDC compared to its recent historical mean. This aligns with your directional intent (Long SMH / Short WDC), which is the quant-optimal direction for this z-score sign.
- Conviction: The signal is statistically significant (Z < -2.5), suggesting the spread has deviated meaningfully from its historical relationship.
- Execution: Both assets are available on Hyperliquid via the
xyz deployer. Note that the 1h z-score is a snapshot (~1.2h old); ensure you check current spot prices to confirm the spread has not already corrected significantly since the last data update.
- Sentiment: No specific sentiment data is currently available for these assets.
Note: This analysis is based on statistical metrics (z-scores, correlation, half-life) and does not incorporate external technical indicators or news sentiment.
SMH
WDC