Z-score (-1.40) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -2.05 entry / -1.40 rolling
Half-life 0.7h · Hurst 0.89 · Hedge ratio 1.34
Pair volatility: 29.17%
Backtest: 83.33% win · Sharpe 5.26 · 1.35% return · 0.92% max drawdown
Pair Analysis: Long COHR / Short DRAM
This setup is currently quant-aligned with the mean-reversion signal, as the spread is trading at a discount (negative z-score).
- Roll Z-Score (1h): -1.40
- Roll Z-Score (4h): -2.70
- Roll Z-Score (1d): -1.26
- Correlation: 0.73 (1h)
- Half-Life: ~17h (1h timeframe)
- Quant-Optimal Direction: Long COHR / Short DRAM (Aligned with your stated direction)
Technical Note:
The negative z-scores across all timeframes suggest that COHR is currently "cheap" relative to DRAM. The 4h z-score of -2.70 indicates a significant deviation from the mean, suggesting potential mean-reversion upside if the spread tightens.
Sentiment/News:
No specific sentiment data is currently available for these assets. Monitor sector-specific news regarding semiconductor and memory demand, as these are primary drivers for both Coherent (COHR) and DRAM-related equities.
Disclaimer: Z-scores are snapshots and may lag intraday price action. Verify current spot prices before execution.
COHR
DRAM