Correlation: 0.80 · Cointegrated: yes
Z-score: 0.96 entry / 1.91 rolling
Half-life 1.1h · Hurst 0.93 · Hedge ratio 0.97
Pair volatility: 39.97%
Backtest: 57.69% win · Sharpe 0.42 · 0.25% return · 1.47% max drawdown
Pair Analysis: Long SKHX / Short DRAM
- Roll Z-Score (1h): 2.31 (DRAM is rich relative to SKHX)
- Roll Z-Score (4h): 1.99
- Correlation: 0.81 (1h) / 0.85 (4h)
- Half-Life: 28h (1h) / 10h (4h)
- Hedge Ratio: 0.978 (4h)
Analysis:
- Directional Alignment: Your stated direction (Long SKHX / Short DRAM) is quant-optimal. The positive z-score indicates that DRAM is currently trading at a premium relative to SKHX, supporting a mean-reversion trade where you sell the rich asset (DRAM) and buy the cheap one (SKHX).
- Statistical Strength: The 1h z-score of 2.31 is significantly elevated, suggesting the spread is currently stretched. The 4h z-score of 1.99 confirms this divergence is not merely a 1h noise event.
- Sentiment: No specific sentiment data is available for these assets.
- Note: The 1h z-score snapshot is ~1.2 hours old; verify recent price action to ensure the spread hasn't already begun to mean-revert before entry. The 4h timeframe is recommended for sizing, as it provides a more stable hedge ratio (0.978) compared to the 1h timeframe.
SKHX
DRAM