Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.77 · Cointegrated: yes
Z-score: 1.40 entry / 1.68 rolling
Half-life 0.8h · Hurst 0.83 · Hedge ratio 2.46
Pair volatility: 27.41%
Backtest: 50.00% win · Sharpe 0.02 · -0.02% return · 0.48% max drawdown
Pair Analysis: Long USTECH / Short AMD
This setup is currently aligned with the quant-optimal direction, as AMD is statistically rich relative to the USTECH index.
Statistical Data
- Roll Z-Score (1h): 1.68 (AMD is rich vs. USTECH)
- Roll Z-Score (4h): 1.35
- Correlation: 0.77 (1h) / 0.83 (4h)
- Half-Life: 20h (1h) / 7h (4h)
- Hedge Weights (4h): 72.7% USTECH / 27.3% AMD
Analysis & Sentiment
- Directional Alignment: The trade (Long USTECH / Short AMD) is aligned with the quant-optimal direction derived from the positive z-score. The positive z-score (1.68) indicates that AMD has outperformed the index recently, creating a mean-reversion opportunity to short the outperformer and long the index.
- Sentiment Risk: While the statistical setup is favorable, sentiment for AMD is currently bullish. This creates a "fighting the trend" risk where AMD could continue to outperform despite being statistically rich.
- Execution Note: USTECH (mkts:USTECH) and AMD (xyz:AMD) trade on different venues (Core vs. xyz). Ensure you have sufficient USDC collateral to cover both legs, as these are not cross-margined by default unless your account mode is configured for it.
USTECH
AMD