Correlation: 0.66 · Cointegrated: yes
Z-score: 0.94 entry / 1.92 rolling
Half-life 0.8h · Hurst 0.89 · Hedge ratio 0.51
Pair volatility: 33.40%
Backtest: 28.57% win · Sharpe -1.46 · -0.31% return · 0.86% max drawdown
Pair Analysis: Long GLW / Short AMAT
- Status: Tradeable (GLW on
para, AMAT on xyz; both settle in USDC).
- Roll Z-Score (1h): 3.02 (AMAT is statistically rich vs GLW).
- Roll Z-Score (4h): 1.37 (AMAT is statistically rich vs GLW).
- Correlation: 0.65 (1h).
- Cointegration: True.
- Hedge Weights (4h): 36.2% GLW / 63.8% AMAT.
Analysis:
- Directional Alignment: Your chosen direction (Long GLW / Short AMAT) aligns with the 1h and 4h quant-optimal signals, which identify AMAT as currently rich relative to GLW.
- Mean Reversion: The 1h z-score of 3.02 indicates a significant deviation from the mean, suggesting a strong mean-reversion setup. The 4h z-score (1.37) confirms this trend is persistent across the intraday window.
- Note on Staleness: The 1h z-score snapshot is ~1.2 hours old. Given the high z-score, verify current price action to ensure the spread hasn't already mean-reverted significantly since the last data update.
- Sentiment: No specific sentiment data is available for these assets; the trade is currently driven by statistical divergence.
GLW
AMAT