Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.80 · Cointegrated: yes
Z-score: 1.63 entry / 2.19 rolling
Half-life 4.7h · Hurst 0.93 · Hedge ratio 0.53
Pair volatility: 31.90%
Backtest: 75.00% win · Sharpe 1.82 · 1.34% return · 2.31% max drawdown
Pair Analysis: Long SNDK / Short MU
- Roll Z-Score: 2.19 (1h) / 2.20 (4h)
- Interpretation: The pair is currently at a significant statistical divergence. A positive z-score indicates MU is "rich" relative to SNDK, supporting your mean-reversion setup (Long SNDK / Short MU).
- Correlation: 0.80 (1h)
- Cointegration: True (1h/4h)
- Half-Life: ~25h (4h timeframe)
- Hedge Weights (4h): 36.1% SNDK / 63.9% MU
Sentiment & Context
- MU (Short Leg): Sentiment is Bullish. Micron is seeing strong tailwinds from HBM demand and structural supply-demand imbalances in the AI sector. The current price action is widely viewed as a sector-wide reset rather than company-specific weakness.
- SNDK (Long Leg): No sentiment data available.
- Note: Your trade is a contrarian bet against MU's strong fundamental narrative. While the statistical divergence (z-score > 2) suggests a mean-reversion opportunity, you are trading against a bullish sector leader. Ensure your risk management accounts for the possibility of MU continuing to outperform despite the statistical "richness."
SNDK
MU