Correlation: 0.85 · Cointegrated: yes
Z-score: 0.93 entry / 1.82 rolling
Half-life 0.7h · Hurst 0.89 · Hedge ratio 0.81
Pair volatility: 37.12%
Backtest: 61.54% win · Sharpe 1.16 · 0.74% return · 1.07% max drawdown
Pair Analysis: Long SKHX / Short DRAM
This setup is currently aligned with the quant-optimal mean-reversion direction. The pair is trading at a significant premium for DRAM relative to SKHX, suggesting a potential mean-reversion opportunity.
Statistical Diagnostics
- Roll Z-Score: 2.77 (1h) / 1.67 (4h)
- Note: The positive z-score indicates DRAM is currently rich relative to SKHX. The trade (Long SKHX / Short DRAM) is positioned to capture the spread narrowing as DRAM mean-reverts.
- Correlation: 0.85 (1h) / 0.88 (4h) — Strong positive correlation, supporting the pair's stability.
- Cointegration: True (1h/4h) — The assets show a statistically significant long-term relationship.
- Half-Life: 18h (1h) / 6h (4h) — Indicates the speed of mean reversion; the 4h timeframe suggests a relatively rapid reversion cycle.
- Hedge Weights (4h): 44.4% SKHX / 55.6% DRAM.
Execution Context
- Venue: Both assets are listed on the
xyz deployer on Hyperliquid.
- Leverage: SKHX (max 10x) / DRAM (max 20x).
- Sentiment: No specific sentiment data available for these assets.
Summary
The trade is statistically well-supported by the 1h and 4h z-scores, which are elevated, indicating the spread is stretched. The 4h half-life of 6 hours suggests the market may correct this divergence relatively quickly. Ensure you monitor the 1h z-score (currently 1.2h old) for any rapid intraday price shifts that may have occurred since the last snapshot.
SKHX
DRAM