Correlation: 0.73 · Cointegrated: yes
Z-score: 1.05 entry / 1.59 rolling
Half-life 1.0h · Hurst 0.94 · Hedge ratio 4.26
Pair volatility: 36.75%
Backtest: 53.85% win · Sharpe 1.27 · 0.40% return · 0.89% max drawdown
Pair Analysis: Long USTECH / Short LRCX
- Roll Z-Score (1h): 2.05 (LRCX is rich vs USTECH)
- Roll Z-Score (4h): -0.08 (Neutral)
- Correlation: 0.74 (1h) / 0.76 (4h)
- Hedge Ratio (4h): 3.15 (Sizing: ~76% USTECH / ~24% LRCX)
- Half-Life: 9h (4h timeframe)
Analysis & Remarks:
- Setup: The 1h z-score of 2.05 indicates that LRCX is currently trading rich relative to the USTECH index on a short-term basis, supporting the mean-reversion case for a Long USTECH / Short LRCX trade. However, the 4h z-score is near neutral (-0.08), suggesting this is a short-term divergence rather than a long-term structural extreme.
- Sentiment/News: No specific sentiment data is currently available for these assets.
- Note: The 1h z-score snapshot is ~1.2 hours old. Given the high volatility in semiconductor stocks, verify current price action before entry, as the 1h z-score may have shifted since the last update.
USTECH
LRCX