Pair is reverting towards the mean, but either the movement is decelerating or volatility is elevated.
Regime: WEAK_REVERSION (medium confidence)
Correlation: 0.60 · Cointegrated: yes
Z-score: -1.24 entry / -2.45 rolling
Half-life 0.9h · Hurst 0.82 · Hedge ratio 0.73
Pair volatility: 53.26%
Backtest: 55.56% win · Sharpe 2.78 · 0.64% return · 0.99% max drawdown
Pair Analysis: Long AMD / Short SKHY
This setup is a mean-reversion play on the AMD/SKHY spread, which is currently statistically cheap.
- Roll Z-Score: -2.45 (1h) / -1.88 (4h)
- Interpretation: The spread is significantly below its mean, suggesting AMD is currently undervalued relative to SKHY. The negative z-score indicates a strong statistical basis for a long-AMD/short-SKHY mean-reversion trade.
- Correlation: 0.60 (1h) / 0.70 (4h)
- Interpretation: Moderate correlation; the assets move together but with enough divergence to create spread opportunities.
- Sentiment: AMD is currently showing bullish sentiment, driven by momentum in the chip and AI sectors.
- Technical Note: The 1h z-score is ~1.3h old. Given the high volatility in the semiconductor sector, verify that the spread hasn't diverged further since the last snapshot before executing.
Summary: The trade aligns with the quant-optimal direction (Long AMD / Short SKHY). The strongly negative z-score combined with bullish sentiment on AMD supports a mean-reversion entry, betting on the spread widening back toward the mean.
AMD
SKHY