Correlation: 0.71 · Cointegrated: yes
Z-score: -1.03 entry / -1.93 rolling
Half-life 1.4h · Hurst 0.83 · Hedge ratio 0.43
Pair volatility: 44.13%
Backtest: 90.00% win · Sharpe 8.63 · 2.28% return · 0.69% max drawdown
Pair: LRCX / SNDK
Statistical Analysis
- Roll Z-Score (1h): -3.01
- Roll Z-Score (4h): -2.94
- Correlation: 0.70 (1h)
- Half-Life: 35h (1h timeframe)
- Hedge Ratio: 0.401 (4h)
Analysis
- Mean Reversion: The pair is currently showing a significant negative z-score (-3.01 on 1h, -2.94 on 4h), indicating that LRCX is statistically "cheap" relative to SNDK. The current setup (Long LRCX / Short SNDK) aligns with a mean-reversion strategy, betting on the spread widening back toward the mean.
- Sentiment/News: No sentiment or news data is available for these assets.
- Technical Note: The 1h z-score is approximately 1.2 hours old; ensure the spread has not moved significantly since the last snapshot before execution. The 1d z-score (-0.68) is less extreme, suggesting the current divergence is a shorter-term phenomenon.
Note: This analysis is based on statistical snapshots and does not incorporate fundamental news or technical indicators.
LRCX
SNDK