Correlation: 0.61 · Cointegrated: yes
Z-score: -1.70 entry / -0.75 rolling
Half-life 2.4h · Hurst 0.93 · Hedge ratio 0.37
Pair volatility: 43.25%
Backtest: 75.00% win · Sharpe 2.03 · 1.36% return · 1.40% max drawdown
Pair Analysis: ASML / WDC
- Direction: Long ASML / Short WDC
- Roll Z-Score: -1.21 (1h) / -1.75 (4h)
- Correlation: 0.61 (1h) / 0.65 (4h)
- Hedge Ratio (4h): 0.318 (Sizing: ~76% ASML / ~24% WDC)
Analysis:
- Mean Reversion: The negative z-score indicates that the ASML/WDC spread is currently trading below its historical mean. A Long ASML / Short WDC position is a mean-reversion play betting on the spread widening (ASML outperforming WDC or WDC underperforming ASML).
- Technical Context: The 4h z-score of -1.75 suggests a statistically significant deviation, making this a potentially attractive entry for a mean-reversion strategy. The 1h z-score is ~1.3h old, so verify current price action before execution.
- Sentiment: No specific sentiment data is currently available for these assets.
- Execution: Both assets are available on Hyperliquid (xyz deployer). Ensure you have sufficient USDC collateral for both legs.
ASML
WDC