Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -1.20 entry / -1.56 rolling
Half-life 1.4h · Hurst 0.88 · Hedge ratio 0.68
Pair volatility: 30.97%
Backtest: 83.33% win · Sharpe 6.86 · 2.35% return · 0.72% max drawdown
Pair Analysis: Long LRCX / Short MRVL
This pair is currently showing a strong mean-reversion signal, with the spread trading at a significant discount relative to its historical mean.
Statistical Diagnostics
- Roll Z-Score: -1.56 (1h) / -1.52 (4h)
- Interpretation: The negative z-score indicates that LRCX is currently "cheap" relative to MRVL compared to their historical relationship. The trade is aligned with the quant-optimal direction (Long LRCX / Short MRVL).
- Correlation: 0.73 (1h) / 0.77 (4h)
- Interpretation: Moderate-to-high correlation, supporting the validity of the pair relationship.
- Half-Life: 34h (1h) / 10h (4h)
- Interpretation: The 4h half-life of ~10 hours suggests a relatively fast mean-reversion process, suitable for shorter-term tactical positioning.
- Hurst Exponent: 0.88
- Interpretation: A Hurst exponent > 0.5 indicates a trending or persistent spread, which can sometimes delay mean reversion; however, the strong negative z-score suggests the spread has stretched significantly.
Market Context
- Sentiment: No specific sentiment data is currently available for these assets.
- Execution Note: Both assets are available on Hyperliquid (LRCX via
para deployer, MRVL via xyz deployer). Note that these are separate deployers; ensure you have sufficient collateral for both legs if your account mode requires it.
Disclaimer: Z-scores are based on snapshot data (1h z-score is ~1.3h old). Verify recent price action before entry, as significant intraday moves can render snapshot z-scores stale.
LRCX
MRVL