Correlation: 0.85 · Cointegrated: yes
Z-score: 1.76 entry / 1.11 rolling
Half-life 0.6h · Hurst 0.91 · Hedge ratio 1.32
Pair volatility: 25.01%
Backtest: 75.00% win · Sharpe 4.20 · 0.63% return · 0.50% max drawdown
Pair Analysis: Long LRCX / Short AMAT
- Status: The pair is tradeable on Hyperliquid (LRCX on
para, AMAT on xyz).
- Roll Z-Score: 2.27 (1h timeframe). A positive z-score indicates AMAT is currently "rich" relative to LRCX, supporting the mean-reversion thesis of Long LRCX / Short AMAT.
- Correlation: 0.85 (1h), indicating strong co-movement, which is typical for semiconductor equipment peers.
- Hedge Ratio: ~1.0 (1h/4h).
- Note on Stats: The 1h z-score (2.27) is significantly higher than the 4h (0.79), suggesting the divergence is a shorter-term phenomenon. The 1h snapshot is ~1.2h old; verify recent price action to ensure the divergence hasn't already corrected.
Remark:
This setup is a classic mean-reversion play within the semiconductor equipment sector. With a 1h z-score of 2.27, AMAT is statistically extended against LRCX. The trade aligns with the quant-optimal direction (Long LRCX / Short AMAT). Given the lack of specific sentiment data, this trade relies primarily on the statistical divergence rather than a fundamental catalyst. Ensure you are comfortable with the cross-DEX execution (LRCX on para, AMAT on xyz), as these positions are not cross-margined by default.
LRCX
AMAT