Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.62 · Cointegrated: yes
Z-score: 1.25 entry / 2.69 rolling
Half-life 0.9h · Hurst 0.87 · Hedge ratio 0.76
Pair volatility: 34.53%
Backtest: 58.33% win · Sharpe 1.54 · 0.46% return · 0.83% max drawdown
Pair Analysis: Long LRCX / Short EWY
- Roll Z-Score (1h): 2.69 (EWY is statistically rich vs LRCX; aligns with your Long LRCX / Short EWY direction)
- Roll Z-Score (4h): -1.11 (LRCX is statistically rich vs EWY; conflicts with your direction)
- Correlation: 0.62 (1h) / 0.65 (4h)
- Half-Life: 22h (1h) / 7h (4h)
Remark:
This setup shows significant timeframe divergence. The 1h z-score (2.69) strongly supports your Long LRCX / Short EWY direction, suggesting a mean-reversion opportunity where EWY has overextended relative to LRCX. However, the 4h z-score (-1.11) indicates the opposite, suggesting LRCX may be the rich leg on a slightly longer horizon. Given the conflicting signals and lack of clear sentiment data, this trade carries elevated regime risk. Monitor the 1h spread closely; if the 1h z-score mean-reverts quickly, the 4h signal may become the dominant trend.
LRCX
EWY