Correlation: 0.85 · Cointegrated: yes
Z-score: 1.63 entry / 0.92 rolling
Half-life 0.8h · Hurst 0.88 · Hedge ratio 0.81
Pair volatility: 23.60%
Backtest: 75.00% win · Sharpe 3.94 · 0.63% return · 0.50% max drawdown
Pair Analysis: LRCX / AMAT
- Direction: Long LRCX / Short AMAT
- Roll Z-Score (1h): 1.73 (Snapshot ~1.2h old)
- Correlation: 0.85
- Half-Life: 19h (~0.8d)
- Hedge Ratio: 0.80 (4h sizing: 48% LRCX / 52% AMAT)
Setup Notes:
- Mean Reversion: The 1h Roll Z-Score of 1.73 indicates that AMAT is currently trading rich relative to LRCX. The trade (Long LRCX / Short AMAT) is aligned with the quant-optimal mean-reversion direction.
- Execution: Both assets are available on Hyperliquid, though they reside on different deployers (
para:LRCX and xyz:AMAT). Ensure you have sufficient collateral in the respective stables for both legs, as these positions are not cross-margined across different DEXes.
- Sentiment: No specific sentiment data is available for these semiconductor equipment stocks at this time.
- Technical Context: The 1h z-score is elevated, suggesting a potential divergence. However, the 19h half-life indicates a relatively slow mean-reversion process; monitor for further divergence before entry, as the snapshot is slightly aged.
LRCX
AMAT