Correlation: 0.64 · Cointegrated: yes
Z-score: 1.13 entry / 1.78 rolling
Half-life 1.2h · Hurst 0.86 · Hedge ratio 1.60
Pair volatility: 31.95%
Backtest: 50.00% win · Sharpe -3.03 · -0.72% return · 0.91% max drawdown
Pair Analysis: Long LRCX / Short INTC
- Roll Z-Score (1h): 1.86 (INTC is statistically rich relative to LRCX)
- Roll Z-Score (4h): 0.99
- Correlation: 0.64
- Half-Life (1h): 28h (~1.2 days)
- Quant-Optimal Direction: Long LRCX / Short INTC (Aligned with your stated direction)
Analysis & Sentiment Note:
- Statistical Divergence: The 1h Roll Z-Score of 1.86 indicates a significant statistical divergence where INTC has outperformed LRCX relative to their historical relationship. The trade setup (Long LRCX / Short INTC) is the quant-optimal mean-reversion play.
- Sentiment Conflict: While the statistical signal suggests a short on INTC, sentiment data is currently bullish for INTC following a strong earnings and revenue beat. This creates a potential "fundamental vs. statistical" conflict: the mean-reversion trade is betting on a pullback in INTC's relative outperformance, while the market sentiment is currently rewarding INTC's recent fundamental improvements.
- Execution: Both assets are available on Hyperliquid (LRCX via
para, INTC via xyz). Note that these are separate DEX deployers; ensure you have the appropriate collateral (USDC) available for both legs.
LRCX
INTC