Z-score (-1.20) is too close to the mean to be considered for a trade.
long spread · 5× leverage · regime IDLE (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.20 |
| Z-score | -2.16 at entry |
| Correlation | 0.78 · cointegrated |
| Half-life | 0.9h |
| Hurst | 0.88 |
| Hedge ratio | 1.05 · long-term beta 1.73 |
| Beta stability | stable · current 1.05 · range 0.59–2.60 · 0 sign changes |
| Lead–lag peak corr | 0.78 |
| Pair volatility | 27.23% |
| Momentum | z-velocity -0.23 · acceleration -0.45 · vol ratio 0.39 |
Backtest
| Metric | Value |
|---|
| Win rate | 76.92% — 10W / 3L over 13 trades |
| Sharpe | 3.20 |
| Total return | +1.09% |
| Max drawdown | 0.41% |
- Pair: Long LRCX / Short SMH
- Venue status: Both tradeable on Hyperliquid; LRCX
para:LRCX up to 10×, SMH xyz:SMH up to 20×.
- Roll Z-Score:
- 1h: -1.20; secondary Z -2.16; age 1.3h
- 4h: -1.48; secondary Z -2.06; age 6.3h
- 1d: -1.55; age 1.9d
- Correlation: 0.78 (1h), 0.85 (4h), 0.92 (1d)
- Cointegration: True on 1h; false on 4h and 1d
- Half-life: 22h (1h), 12h (4h), 3h (1d)
- Hurst: 0.88 (1h), 0.85 (4h), 0.50 (1d); elevated shorter-term Hurst weakens the mean-reversion case.
- Hedge weights for sizing: 4h 41.8% LRCX / 58.2% SMH; 1d 34.4% / 65.6%. Use 4h by default.
- Sentiment/news: No asset-specific sentiment or third-party news returned. Semiconductor-category sentiment is mixed: AI-linked names bullish, while margin, valuation, geopolitical, and capex risks remain.
- Remark: The long-LRCX/short-SMH direction is supported by negative pair z-scores and strong correlation, but the lack of multi-timeframe cointegration and high short-window Hurst make this a moderate, tactical mean-reversion setup—not a high-conviction structural pair.
- Price levels: Live prices and ratio-based TP/SL could not be retrieved for these HIP-3 equity listings; no numeric price targets quoted.
LRCX
SMH