Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.64 · Cointegrated: yes
Z-score: -1.77 entry / -2.99 rolling
Half-life 0.8h · Hurst 0.85 · Hedge ratio 0.76
Pair volatility: 35.94%
Backtest: 64.29% win · Sharpe 3.00 · 1.00% return · 0.83% max drawdown
Pair Analysis: Long EWY / Short LRCX
- Roll Z-Score (1h): -2.99 (EWY is statistically cheap relative to LRCX on the 1h timeframe)
- Roll Z-Score (4h): 0.48 (EWY is slightly rich relative to LRCX on the 4h timeframe)
- Roll Z-Score (1d): 0.82 (EWY is rich relative to LRCX on the 1d timeframe)
- Correlation: 0.64 (1h/4h) to 0.83 (1d)
- Half-Life: 18h (1h) / 6h (4h) / 3h (1d)
Analysis:
- Directional Conflict: Your chosen direction (Long EWY / Short LRCX) aligns with the 1h mean-reversion signal, which suggests EWY is currently oversold relative to LRCX. However, this setup runs against the 4h and 1d signals, which indicate EWY is currently rich (overvalued) relative to LRCX.
- Technical Context: The 1h z-score of -2.99 is a strong divergence, but the higher-timeframe z-scores (4h/1d) suggest the broader trend is currently favoring the inverse (Long LRCX / Short EWY).
- Sentiment: No specific sentiment data is available for these assets.
- Note: The 1h z-score is a snapshot ~1.3 hours old; verify if significant price action has occurred since, as the 1h timeframe is prone to noise and rapid mean-reversion. Given the conflict between the 1h and higher timeframes, this trade carries higher directional risk.
EWY
LRCX