long spread · 5× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -3.19 |
| Z-score | -3.94 at entry · -1.01 pair |
| Correlation | 0.60 · cointegrated |
| Half-life | 1.6h |
| Hurst | 0.91 |
| Hedge ratio | 0.39 · long-term beta 0.30 |
| Beta stability | stable · current 0.39 · range 0.05–1.49 · 0 sign changes |
| Lead–lag peak corr | 0.60 |
| Pair volatility | 36.16% |
Backtest
| Metric | Value |
|---|
| Win rate | 70.37% — 19W / 8L over 27 trades |
| Sharpe | 3.02 |
| Total return | +2.20% |
| Max drawdown | 0.97% |
Pair Analysis: Long ASML / Short INTC
- Roll Z-Score (1h): -3.94 (Strong mean-reversion signal; spread is significantly below its mean, suggesting ASML is currently cheap relative to INTC).
- Roll Z-Score (4h): -3.03
- Correlation: 0.60 (1h)
- Cointegration: True
- Half-Life: 38h (1h timeframe)
Analysis & Sentiment:
- Sentiment: INTC is currently bearish, with the market reacting negatively to significant foundry operating losses and high capital expenditure burdens. ASML sentiment is neutral.
- Technical Setup: The pair is showing a strong mean-reversion signal on the 1h and 4h timeframes (negative z-scores). The user's stated direction (Long ASML / Short INTC) is aligned with the quant-optimal direction for these timeframes, as the spread is currently depressed.
- Note: The 1d z-score (-0.45) is less extreme and shows a different optimal direction, but the 1h/4h signals are the primary drivers for this mean-reversion setup. Ensure you are comfortable with the 38h half-life, which indicates a slower reversion process.
Both assets are available on Hyperliquid (xyz deployer) with 10x max leverage.
ASML
INTC