Z-score (-1.34) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -1.64 entry / -1.34 rolling
Half-life 0.6h · Hurst 0.90 · Hedge ratio 1.07
Pair volatility: 31.14%
Backtest: 84.62% win · Sharpe 5.84 · 1.68% return · 0.92% max drawdown
Pair Analysis: Long COHR / Short DRAM
- Roll Z-Score: -1.34 (1h), -2.24 (4h)
- Correlation: 0.72 (1h)
- Cointegration: 1h (True), 4h/1d (False)
- Half-Life: 14h (1h timeframe)
- Hedge Ratio: 1.07 (1h), 0.90 (4h)
Analysis:
- Statistical Setup: The negative z-scores (-1.34 on 1h, -2.24 on 4h) indicate that the COHR/DRAM spread is currently trading below its mean, suggesting COHR is statistically "cheap" relative to DRAM. Your proposed direction (Long COHR / Short DRAM) is aligned with a mean-reversion strategy, betting on the spread to widen back toward the mean.
- Conviction: The 1h timeframe shows cointegration, which supports the mean-reversion thesis. However, the lack of cointegration on the 4h and 1d timeframes suggests the relationship may be unstable over longer periods.
- Sentiment/News: No specific sentiment data is currently available for these assets.
- Execution Note: COHR is listed on the
para deployer (USDC collateral), and DRAM is listed on the xyz deployer (USDC collateral). Ensure you have sufficient USDC collateral available for both legs, as these are separate deployers.
COHR
DRAM