Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.68 · Cointegrated: yes
Z-score: 1.20 entry / 1.76 rolling
Half-life 2.4h · Hurst 0.92 · Hedge ratio 0.85
Pair volatility: 49.34%
Backtest: 70.37% win · Sharpe 2.35 · 2.25% return · 1.86% max drawdown
Pair Analysis: Long SKHX / Short MU
- Roll Z-Score: 1.76 (1h) — Indicates MU is currently "rich" relative to SKHX, supporting the mean-reversion trade (Long SKHX / Short MU).
- Correlation: 0.68 (1h)
- Cointegration: True (1h)
- Half-Life: 57h (~2.4 days)
- Hedge Weights (4h): 38.5% SKHX / 61.5% MU
Analysis & Sentiment:
- Setup: This is a live, active signal. The positive roll Z-score suggests a statistical divergence where MU has outperformed SKHX, creating a mean-reversion opportunity to sell the relative strength in MU and buy the relative weakness in SKHX.
- Sentiment: MU remains fundamentally bullish, with strong Q3 earnings and sold-out HBM capacity through 2026. The current divergence is likely driven by sector-wide volatility rather than company-specific weakness.
- Risk Note: While the statistical setup is strong (cointegrated, mean-reverting), MU's strong fundamental tailwinds may limit the downside for the short leg. Ensure your sizing accounts for the potential of MU to continue outperforming despite the statistical richness.
SKHX
MU