Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.75 · Cointegrated: yes
Z-score: -2.57 entry / -1.75 rolling
Half-life 0.8h · Hurst 0.90 · Hedge ratio 1.22
Pair volatility: 34.63%
Backtest: 77.78% win · Sharpe 1.53 · 0.31% return · 0.70% max drawdown
Pair Analysis: Long COHR / Short MU
- Roll Z-Score: -1.75 (1h) / -2.69 (4h)
- Interpretation: The spread is significantly below its mean, indicating COHR is statistically "cheap" relative to MU. This setup aligns with a mean-reversion strategy (Long the cheap asset, Short the rich one).
- Correlation: 0.75 (1h)
- Hedge Weights (4h): 48.1% COHR / 51.9% MU
- Sentiment:
- MU: Bullish. Despite recent sector-wide volatility, Micron is seeing strong fundamental support with HBM sold out through 2026 and a low forward P/E.
- COHR: No specific sentiment data available.
Remark:
This pair is currently at a deep statistical discount (Z-score < -2.5 on 4h), suggesting a strong mean-reversion opportunity. However, the trade faces a fundamental headwind: you are shorting MU, which currently holds a bullish sentiment profile driven by structural AI demand and strong earnings. While the statistical setup is compelling, the fundamental divergence—shorting a stock with strong, specific bullish catalysts—increases the risk of the spread remaining "cheap" or widening further if MU outperforms on sector-specific news. Ensure your risk management accounts for this fundamental mismatch.
COHR
MU