Pair is reverting towards the mean, but either the movement is decelerating or volatility is elevated.
short spread · 5× leverage · regime WEAK_REVERSION (medium confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 1.98 |
| Z-score | 2.85 at entry |
| Correlation | 0.73 · cointegrated |
| Half-life | 0.9h |
| Hurst | 0.90 |
| Hedge ratio | 0.77 · long-term beta 1.04 |
| Beta stability | stable · current 0.77 · range 0.06–1.44 · 0 sign changes |
| Lead–lag peak corr | 0.73 |
| Pair volatility | 32.93% |
| Momentum | z-velocity -0.01 · acceleration +0.02 · vol ratio 1.46 |
Backtest
| Metric | Value |
|---|
| Win rate | 81.25% — 13W / 3L over 16 trades |
| Sharpe | 4.73 |
| Total return | +2.05% |
| Max drawdown | 0.92% |
Pair Analysis: Long xyz:DRAM / Short para:COHR
This setup is a mean-reversion play targeting the relative richness of COHR against DRAM.
- Roll Z-Score (1h): 1.98 (Positive z-score indicates COHR is currently rich relative to DRAM; the trade is aligned with mean reversion).
- Roll Z-Score (4h): 2.86 (Stronger divergence on the 4h timeframe).
- Correlation: 0.73 (1h) / 0.77 (1d) — moderate-to-high correlation, supporting the pair's statistical relationship.
- Half-Life: ~22h (1h) to 27h (4h) — suggests a mean-reversion window of roughly one day.
- Hedge Weights (4h): 52.4% Long
xyz:DRAM / 47.6% Short para:COHR.
Technical Note:
The 1h and 4h z-scores are significantly elevated (1.98 and 2.86, respectively), suggesting that COHR has outperformed DRAM recently beyond its typical statistical range. The trade is well-aligned with the quant-optimal direction (Long DRAM / Short COHR). Note that the 1d z-score (0.33) is much lower, indicating that this divergence is a relatively recent intraday/short-term phenomenon rather than a long-term structural shift.
Sentiment/News: No specific sentiment data available for these assets at this time.
DRAM
COHR