Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: 1.44 entry / 2.42 rolling
Half-life 1.2h · Hurst 0.91 · Hedge ratio 0.74
Pair volatility: 47.53%
Backtest: 62.96% win · Sharpe 1.25 · 1.09% return · 1.87% max drawdown
Pair Analysis: SKHX / MU
- Roll Z-Score (1h): 2.42 (MU is statistically rich relative to SKHX)
- Correlation: 0.73
- Half-Life: 29h
- Hedge Ratio: 0.743
Remark:
This setup is a classic mean-reversion play based on the 1h Z-score of 2.42, which indicates MU is currently trading at a significant premium relative to SKHX. However, caution is warranted: MU sentiment is strongly bullish following a Q3 earnings beat and blowout guidance, with structural demand locked in via long-term contracts. Shorting MU into this momentum, despite the statistical richness, carries elevated risk. The 1h Z-score is ~1.3h old; verify current price action to ensure the spread hasn't already begun to compress.
SKHX
MU