Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.65 · Cointegrated: yes
Z-score: 1.21 entry / 2.08 rolling
Half-life 0.6h · Hurst 0.95 · Hedge ratio 0.75
Pair volatility: 39.56%
Backtest: 80.00% win · Sharpe 7.51 · 1.87% return · 0.68% max drawdown
Pair Analysis: Long GLW / Short DRAM
This setup is currently showing conflicting signals across timeframes, indicating significant regime divergence.
- Roll Z-Score (1h): 2.08 (DRAM is statistically "rich" relative to GLW on a short-term basis, supporting your directional bias).
- Roll Z-Score (4h/1d): -0.43 / -0.94 (The pair is actually "cheap" on longer timeframes, suggesting the 1h divergence may be noise or a temporary spike rather than a structural mean-reversion opportunity).
- Correlation: 0.65 (1h) to 0.78 (1d).
- Sentiment: No specific sentiment data available for this pair.
Remark:
The 1h z-score of 2.08 provides a tactical entry signal for your "Long GLW / Short DRAM" bias, as it suggests DRAM is currently overextended relative to GLW. However, the negative z-scores on the 4h and 1d timeframes are a warning sign; they imply that on a structural basis, the pair is currently "cheap" (GLW is relatively weak vs DRAM).
If you proceed, be aware that you are trading against the longer-term mean-reversion trend. Given the lack of sentiment data and the divergence between short-term and long-term stats, this trade carries higher execution risk. You may want to monitor the 4h timeframe for a shift in z-score before sizing aggressively.
GLW
DRAM