Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
short spread · 5× leverage · regime STRONG_REVERSION (high confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 2.09 |
| Z-score | 4.00 at entry |
| Correlation | 0.72 · cointegrated |
| Half-life | 1.2h |
| Hurst | 0.84 |
| Hedge ratio | 1.16 · long-term beta 1.17 |
| Beta stability | stable · current 1.16 · range 0.31–1.48 · 0 sign changes |
| Lead–lag peak corr | 0.72 |
| Pair volatility | 42.40% |
| Momentum | z-velocity -0.10 · acceleration -0.20 · vol ratio 1.97 |
Backtest
| Metric | Value |
|---|
| Win rate | 86.67% — 13W / 2L over 15 trades |
| Sharpe | 6.22 |
| Total return | +3.15% |
| Max drawdown | 1.45% |
Pair Analysis: Long DRAM / Short AAOI
- Roll Z-Score: 2.09 (1h) / 3.77 (4h)
- Note: Positive z-scores indicate AAOI is currently "rich" relative to DRAM. Your direction (Long DRAM / Short AAOI) is aligned with the quant-optimal mean-reversion signal, betting on the spread narrowing as AAOI mean-reverts against DRAM.
- Correlation: 0.72 (1h)
- Hedge Ratio: 1.16 (1h) / 1.32 (4h)
- Half-Life: 28h (1h) / 40h (4h)
- Sentiment: No specific sentiment data available for these assets.
Setup Remark:
This is a mean-reversion setup where AAOI has significantly outperformed DRAM recently, pushing the spread to a statistically rich level (z-score > 2.0). The trade is well-aligned with the quant-optimal direction. However, note that the 4h z-score (3.77) is significantly higher than the 1h (2.09), suggesting the divergence is pronounced on a slightly longer timeframe. Ensure you monitor for any fundamental news driving the AAOI outperformance, as high z-scores can sometimes reflect a structural regime shift rather than a temporary deviation.
DRAM
AAOI