Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: -1.39 entry / -1.82 rolling
Half-life 1.1h · Hurst 0.94 · Hedge ratio 0.71
Pair volatility: 37.50%
Backtest: 81.82% win · Sharpe 5.26 · 2.32% return · 0.98% max drawdown
Pair Analysis: Long xyz:DRAM / Short para:GLW
- Roll Z-Score (1h): -1.82 (Snapshot: ~1.3h old)
- Roll Z-Score (4h): -0.29
- Correlation: 0.61 (1h)
- Hedge Ratio: 0.71 (1h)
- Cointegration: True (1h)
Concise Remark:
This setup is currently a mean-reversion play. The 1h roll z-score of -1.82 indicates that the spread is significantly below its historical mean, suggesting DRAM is currently "cheap" relative to GLW on a short-term basis. However, the 4h and 1d z-scores are near neutral (-0.29 and -0.30), implying that this divergence is a recent, short-term phenomenon rather than a long-term structural breakdown.
- Sentiment: No specific sentiment data is available for these assets at this time.
- Note: The 1h z-score is the primary signal here; ensure you verify recent price action, as the snapshot is ~1.3 hours old and significant intraday moves can quickly invalidate short-term mean-reversion setups.
DRAM
GLW