Correlation: 0.64 · Cointegrated: yes
Z-score: 1.06 entry / 1.71 rolling
Half-life 0.6h · Hurst 0.87 · Hedge ratio 0.22
Pair volatility: 29.82%
Backtest: 66.67% win · Sharpe -0.89 · -0.14% return · 1.00% max drawdown
Pair Analysis: Long COHR / Short ASML
This setup aligns with a mean-reversion strategy where ASML appears statistically overextended relative to COHR.
- Roll Z-Score: 2.18 (1h timeframe)
- Interpretation: A positive z-score indicates that the ASML/COHR spread is currently trading above its historical mean. The user's stated direction (Long COHR / Short ASML) is aligned with the quant-optimal mean-reversion signal.
- Correlation: 0.64 (1h)
- Half-Life: 14h (~0.6 days)
- Interpretation: The mean-reversion process is relatively active, with a half-life of 14 hours on the 1h timeframe, suggesting the spread tends to revert within a sub-day to multi-day window.
- Hedge Weights (4h): 14.1% COHR / 85.9% ASML
- Note: Sizing is based on 4h weights. 1h weights are often noisy and should be avoided for position sizing.
Technical & Sentiment Context:
- Sentiment: No specific sentiment data is currently available for this pair.
- Data Staleness: The 1h z-score snapshot is ~1.2 hours old. Given the volatility in semiconductor-related equities, verify current price action before entry, as significant intraday moves can render snapshot z-scores less reliable.
- Platform Note: COHR is listed on the
para deployer and ASML on the xyz deployer. Both settle in USDC.
COHR
ASML