Correlation: 0.65 · Cointegrated: yes
Z-score: -0.95 entry / -1.52 rolling
Half-life 0.9h · Hurst 0.89 · Hedge ratio 0.80
Pair volatility: 38.48%
Backtest: 83.33% win · Sharpe 5.07 · 2.78% return · 0.98% max drawdown
Pair Analysis: Long DRAM / Short GLW
- Roll Z-Score (1h): -2.01 (DRAM is statistically cheap relative to GLW)
- Correlation: 0.65
- Half-Life: 22h (~0.9d)
- Hedge Ratio (4h): 0.60 (Sizing: 62.5% DRAM / 37.5% GLW)
Setup Remark:
This setup is currently mean-reversion aligned. The 1h z-score of -2.01 indicates that DRAM is significantly "cheap" relative to GLW on a short-term basis. With a half-life of ~22 hours, the spread has a relatively fast reversion tendency, suggesting the current divergence is likely to close within the next trading day.
Note: Sentiment data is currently unavailable for these assets. Ensure you monitor for any specific news catalysts (e.g., memory sector earnings or supply chain updates) that could fundamentally break the cointegration, as the 1d z-score (0.03) suggests the pair is near fair value on a longer timeframe.
DRAM
GLW