Correlation: 0.61 · Cointegrated: yes
Z-score: -1.09 entry / -2.59 rolling
Half-life 1.0h · Hurst 0.87 · Hedge ratio 2.17
Pair volatility: 31.21%
Backtest: 40.00% win · Sharpe -2.40 · -0.77% return · 0.99% max drawdown
Pair Analysis: Long INTC / Short LRCX
- Roll Z-Score (1h): -2.87 (Strongly oversold relative to LRCX)
- Roll Z-Score (4h): -1.03
- Correlation (1h): 0.61
- Hedge Ratio (4h): 1.299 (Sizing: 43.5% INTC / 56.5% LRCX)
- Sentiment: INTC is currently bearish, with market participants skeptical of the foundry turnaround timeline. No sentiment data is available for LRCX.
Remark:
The pair is showing a significant statistical divergence on the 1h timeframe (z-score -2.87), suggesting INTC is currently cheap relative to LRCX. While the statistical setup supports a mean-reversion trade (Long INTC / Short LRCX), the bearish sentiment surrounding INTC's foundry narrative introduces fundamental risk to the long leg. The 1h z-score is ~1.2 hours old; verify recent price action to ensure the divergence hasn't been driven by a structural shift rather than temporary noise.
INTC
LRCX