Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.60 · Cointegrated: yes
Z-score: -2.21 entry / -1.86 rolling
Half-life 0.8h · Hurst 0.86 · Hedge ratio 0.85
Pair volatility: 48.12%
Backtest: 76.92% win · Sharpe 3.95 · 1.53% return · 1.31% max drawdown
Pair Analysis: Long LRCX / Short SMSN
- Roll Z-Score (1h): -1.86 (Snapshot: 1.3h old)
- Roll Z-Score (4h): -0.37 (Snapshot: 6.3h old)
- Correlation: 0.60 (1h) to 0.79 (1d)
- Cointegration: True (1h, 4h)
- Half-Life: 19h (1h) / 10h (4h)
- Hedge Ratio (4h): 0.894 (Sizing: 52.8% LRCX / 47.2% SMSN)
Remark:
The 1h z-score of -1.86 indicates the spread is significantly "cheap" (oversold) relative to its recent mean, providing a strong statistical basis for a mean-reversion trade (Long LRCX / Short SMSN). The cointegration is confirmed across the 1h and 4h timeframes, suggesting a stable long-term relationship between these semiconductor-sector assets. While the 4h and 1d z-scores are less extreme, the 1h signal is the primary driver for this entry. No specific sentiment data is available for these assets; monitor for sector-wide news that could decouple the pair.
LRCX
SMSN