Correlation: 0.71 · Cointegrated: yes
Z-score: 1.18 entry / 2.33 rolling
Half-life 1.1h · Hurst 0.85 · Hedge ratio 1.84
Pair volatility: 36.42%
Backtest: 60.00% win · Sharpe 1.66 · 0.32% return · 0.78% max drawdown
Pair Analysis: Long USTECH / Short LRCX
- Roll Z-Score (1h): 3.07
- Roll Z-Score (4h): 0.25
- Correlation: 0.70 (1h)
- Half-Life: 29h (1h timeframe)
Analysis:
- Divergence: The 1h z-score of 3.07 indicates a significant short-term divergence where LRCX is currently rich relative to USTECH. This supports the mean-reversion trade (Long USTECH / Short LRCX).
- Timeframe Discrepancy: There is a material difference between the 1h (3.07) and 4h (0.25) z-scores. The 4h z-score suggests the pair is near its mean over a longer horizon, implying the 1h divergence may be a transient, high-frequency move rather than a structural breakdown.
- Sentiment: No specific sentiment data is available for these assets.
- Execution Note: USTECH is on
mkts (25x max leverage) and LRCX is on para (10x max leverage). Ensure both legs are funded in their respective collateral stables (USDC) if trading on separate deployers.
USTECH
LRCX