Pair is strongly diverging away from the mean. High risk of further deviation.
long spread · 5× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.72 |
| Z-score | -1.73 at entry |
| Correlation | 0.73 · cointegrated |
| Half-life | 1.6h |
| Hurst | 0.87 |
| Hedge ratio | 0.54 · long-term beta 0.66 |
| Beta stability | stable · current 0.54 · range 0.11–1.25 · 0 sign changes |
| Lead–lag peak corr | 0.73 |
| Pair volatility | 31.20% |
| Momentum | z-velocity -3.43 · acceleration -4.13 · vol ratio 0.20 |
Backtest
| Metric | Value |
|---|
| Win rate | 78.57% — 11W / 3L over 14 trades |
| Sharpe | 6.45 |
| Total return | +2.42% |
| Max drawdown | 0.72% |
Pair Analysis: Long LRCX / Short MRVL
- Roll Z-Score: -1.72 (1h), -1.11 (4h), -1.36 (1d)
- Interpretation: Negative Z-scores indicate LRCX is currently "cheap" relative to MRVL based on historical spread. The trade is a mean-reversion play betting on the spread widening back toward the mean.
- Correlation: 0.73 (1h) to 0.89 (1d)
- Half-Life: 38h (1h timeframe)
- Execution Note:
- LRCX: Listed on
para deployer (USDC collateral).
- MRVL: Listed on
xyz deployer (USDC collateral).
- Constraint: These assets reside on different deployers. Ensure you have sufficient USDC collateral on both
para and xyz to open the respective legs, as these pools are not cross-margined by default.
- Sentiment: No specific sentiment data available for these assets.
Note: The negative Z-score supports the Long LRCX / Short MRVL direction as a mean-reversion setup.
LRCX
MRVL