Correlation: 0.70 · Cointegrated: yes
Z-score: 0.89 entry / 1.79 rolling
Half-life 1.3h · Hurst 0.87 · Hedge ratio 1.10
Pair volatility: 35.58%
Backtest: 69.23% win · Sharpe 3.66 · 1.38% return · 1.14% max drawdown
Pair Analysis: Long LRCX / Short DRAM
- Roll Z-Score: 2.56 (1h) — Indicates the spread is significantly extended.
- Correlation: 0.70 (1h)
- Hedge Ratio: 1.00 (1h)
- Status: The pair is currently exhibiting a strong mean-reversion signal. A positive Z-score of 2.56 suggests that DRAM is statistically "rich" relative to LRCX.
Analysis:
- Directional Alignment: Your requested trade (Long LRCX / Short DRAM) aligns with the quant-optimal mean-reversion direction. The positive Z-score indicates the spread (DRAM/LRCX) has deviated upward from its historical mean, favoring a short on the numerator (DRAM) and a long on the denominator (LRCX).
- Sentiment: No specific sentiment data is currently available for these assets.
- Technical Context: The 1h Z-score (2.56) is the primary signal, suggesting the pair is stretched. The 4h Z-score (1.89) confirms this trend, though it is slightly less extreme. Given the 1h half-life of ~32 hours, the mean-reversion pressure is active but may take time to materialize.
Note: Z-scores are snapshots and do not account for intraday price action since the last update (~1.2h ago). Verify current price levels before execution.
LRCX
DRAM