Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.62 · Cointegrated: yes
Z-score: -1.63 entry / -1.86 rolling
Half-life 1.0h · Hurst 0.90 · Hedge ratio 0.81
Pair volatility: 37.69%
Backtest: 75.00% win · Sharpe 4.81 · 2.18% return · 0.98% max drawdown
Pair Analysis: Long xyz:DRAM / Short para:GLW
- Roll Z-Score (1h): -1.86 (Snapshot ~1.3h old)
- Correlation: 0.62
- Hedge Ratio (4h): 0.612 (Sizing weight: 62% Long / 38% Short)
- Cointegration: True (1h timeframe)
Technical Assessment:
The 1h Roll Z-Score of -1.86 indicates that the spread is currently significantly below its mean, suggesting DRAM is statistically "cheap" relative to GLW. The 1h cointegration signal supports this mean-reversion setup. Note that the 4h and 1d z-scores are closer to neutral (-0.29 and -0.02 respectively), implying this is a short-term divergence rather than a long-term structural misalignment.
Sentiment & News:
I do not have access to real-time news or sentiment data for these assets. Please cross-reference this technical setup with current sector-specific news (e.g., memory cycle updates for DRAM or glass/fiber optic demand for GLW) to confirm the fundamental thesis.
Execution Note:
DRAM (on xyz) and GLW (on para) are listed on different DEXes. Ensure you have the required collateral (USDC) funded in the respective spot accounts for both legs, as these positions are not cross-margined across different deployers.
DRAM
GLW