long spread · 5× leverage
Signal
| Metric | Value |
|---|
| Rolling z-score | -1.93 |
| Z-score | -2.84 at entry · -1.04 pair |
| Correlation | 0.70 · cointegrated |
| Half-life | 0.8h |
| Hurst | 0.86 |
| Hedge ratio | 0.87 · long-term beta 1.07 |
| Beta stability | stable · current 0.87 · range 0.34–2.07 · 0 sign changes |
| Lead–lag peak corr | 0.70 |
| Pair volatility | 38.04% |
Backtest
| Metric | Value |
|---|
| Win rate | 83.33% — 15W / 3L over 18 trades |
| Sharpe | 5.92 |
| Total return | +3.26% |
| Max drawdown | 1.14% |
Pair Analysis: DRAM / LRCX
- Roll Z-Score: -2.84 (1h) | -1.95 (4h) | -0.80 (1d)
- Note: A negative z-score indicates the spread is currently below its mean, suggesting DRAM is statistically "cheap" relative to LRCX.
- Correlation: 0.70 (1h) | 0.74 (4h) | 0.87 (1d)
- Half-Life: 19h (1h) | 9h (4h) | 2h (1d)
- Hedge Ratio (4h): 0.893 (DRAM/LRCX)
Technical Remark:
The pair shows a strong mean-reversion setup, particularly on the 1h and 4h timeframes, where the negative z-score (-2.84 and -1.95 respectively) highlights a significant divergence. The 1h z-score is currently at an extreme, suggesting the spread has widened beyond typical bounds. The 19h half-life on the 1h timeframe indicates a moderate speed of mean reversion.
Sentiment/News:
No specific sentiment data is currently available for these assets. Monitor sector-specific news regarding memory chip demand (DRAM) versus semiconductor equipment spending (LRCX), as these macro drivers often dictate the spread's convergence.
Disclaimer: Z-scores are snapshots and may lag; verify current prices before execution.
DRAM
LRCX