Pair is reverting towards the mean, but either the movement is decelerating or volatility is elevated.
Regime: WEAK_REVERSION (medium confidence)
Correlation: 0.69 · Cointegrated: yes
Z-score: -2.10 entry / -1.78 rolling
Half-life 0.7h · Hurst 0.88 · Hedge ratio 2.16
Pair volatility: 41.11%
Backtest: 50.00% win · Sharpe 6.37 · 1.44% return · 0.65% max drawdown
Pair Analysis: Long CRDO / Short QCOM
This pair is currently showing strong mean-reversion potential, with the spread trading at a significant discount relative to its historical mean.
Statistical Diagnostics
- Roll Z-Score: -1.78 (1h), -1.94 (4h), -2.27 (1d).
- Interpretation: The spread is deeply negative (cheap), suggesting the pair is statistically "stretched" to the downside. The current direction (Long CRDO / Short QCOM) is aligned with the quant-optimal direction.
- Correlation: 0.69 (1h), 0.50 (4h), 0.42 (1d).
- Interpretation: Correlation is moderate to low, particularly on longer timeframes, which increases the risk of the legs decoupling.
- Half-Life: ~17h (1h/4h), ~2h (1d).
- Interpretation: The mean-reversion process is relatively fast, suggesting the spread tends to close gaps within a sub-day to daily timeframe.
- Hurst Exponent: 0.88 (1h), 0.76 (4h), 0.50 (1d).
- Interpretation: The 1h/4h Hurst values (>0.5) indicate a trending regime in the short term, which may delay immediate mean reversion.
Execution Notes
- Venue Availability:
para:CRDO (USDC collateral)xyz:QCOM (USDC collateral)- Note: Both legs are available on Hyperliquid. Ensure you have sufficient USDC collateral on both the
para and xyz deployers, as these are separate collateral pools.
- Data Limitations:
- No sentiment data is currently available for these assets.
- Live spot price data could not be retrieved via standard price tools; please verify current market prices on the Hyperliquid terminal before sizing.
- Sizing: If sizing, use the 4h hedge weights (41.2% CRDO / 58.8% QCOM) as a baseline for a balanced position.
CRDO
QCOM