Correlation: 0.71 · Cointegrated: yes
Z-score: -1.61 entry / -1.17 rolling
Half-life 2.5h · Hurst 0.91 · Hedge ratio 0.79
Pair volatility: 42.79%
Backtest: 57.14% win · Sharpe -0.99 · -0.83% return · 2.85% max drawdown
Pair Analysis: Long DRAM / Short WDC
Pair Stats (Snapshot)
- 1h Roll Z-Score: -1.33
- 4h Roll Z-Score: -0.28
- 1d Roll Z-Score: -1.59
- Correlation: 0.71 (1h)
- Hedge Ratio (4h): 1.035 (Sizing: ~49% DRAM / ~51% WDC)
Analysis & Remark
- Technical Setup: The pair is currently trading at a negative Z-score across all timeframes, indicating the spread is statistically "cheap" (DRAM is undervalued relative to WDC). The 1d Z-score of -1.59 suggests a significant deviation from the mean, supporting a mean-reversion long on the spread (Long DRAM / Short WDC).
- Sentiment: No specific sentiment data is available for these assets at this time.
- Execution Note: The 1h Z-score is ~1.2 hours old; ensure you check live prices before entry, as the spread may have tightened since the last snapshot. The 4h hedge ratio (1.035) is recommended for sizing to balance the legs effectively.
DRAM
WDC