Correlation: 0.72 · Cointegrated: yes
Z-score: -1.09 entry / -1.92 rolling
Half-life 0.7h · Hurst 0.89 · Hedge ratio 1.31
Pair volatility: 29.11%
Backtest: 75.00% win · Sharpe 4.44 · 1.02% return · 0.92% max drawdown
Pair Analysis: Long COHR / Short DRAM
This setup is currently showing a strong mean-reversion signal, with the spread trading at a significant discount relative to its historical mean.
Statistical Diagnostics
- 1h Roll Z-Score: -2.39 (Strongly "cheap" / oversold spread; indicates the pair is statistically extended to the downside)
- 4h Roll Z-Score: -1.49
- 1d Roll Z-Score: -1.26
- Correlation: 0.72 (1h)
- Cointegration: True (1h)
- Half-Life: ~17 hours (1h)
Trade Construction
- Direction: Long
para:COHR / Short xyz:DRAM (Aligned with quant-optimal direction)
- Hedge Weights (4h): 53.8% Long COHR / 46.2% Short DRAM
- Note: The 1h z-score of -2.39 is a high-conviction signal for mean reversion, suggesting the current spread deviation is statistically significant. The 1h snapshot is ~1.2 hours old; verify recent price action to ensure the spread hasn't already corrected.
Sentiment & News
- No specific sentiment data is currently available for these assets. Monitor sector-specific news for semiconductor/hardware components, as both assets are sensitive to broader tech-cycle volatility.
COHR
DRAM