Correlation: 0.87 · Cointegrated: yes
Z-score: -0.45 entry / -1.57 rolling
Half-life 0.8h · Hurst 0.90 · Hedge ratio 1.00
Pair volatility: 23.71%
Backtest: 81.82% win · Sharpe 4.69 · 0.85% return · 0.50% max drawdown
Pair Analysis: Long AMAT / Short LRCX
- Roll Z-Score (1h): -4.01
- Roll Z-Score (4h): -0.58
- Roll Z-Score (1d): -0.26
- Correlation: 0.87 (1h)
- Hedge Ratio (4h): 0.876 (Sizing: 53.3% AMAT / 46.7% LRCX)
Analysis:
- Statistical Setup: The 1h z-score of -4.01 indicates a significant statistical divergence where AMAT is currently "cheap" relative to LRCX on a short-term basis. This suggests the spread is deeply oversold, aligning with a mean-reversion strategy to Long AMAT / Short LRCX.
- Timeframe Divergence: Note the rapid decay in z-score magnitude across timeframes (1h: -4.01 vs 1d: -0.26). The 1h signal is highly aggressive and likely reflects a sharp, recent intraday move. The 4h and 1d signals are much closer to neutral, suggesting the longer-term relationship remains stable.
- Execution Note: AMAT is listed on the
xyz deployer and LRCX on the para deployer. Ensure you have sufficient USDC collateral on both deployers to support the respective legs, as these are separate collateral pools.
- Sentiment: No specific sentiment data is currently available for these semiconductor equipment equities.
AMAT
LRCX