Z-score (-1.49) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: -1.57 entry / -1.49 rolling
Half-life 0.8h · Hurst 0.85 · Hedge ratio 0.63
Pair volatility: 46.67%
Backtest: 84.62% win · Sharpe 4.50 · 1.89% return · 1.31% max drawdown
Pair Analysis: Long LRCX / Short SMSN
This setup is a mean-reversion trade betting on the relative strength of Lam Research (LRCX) against Samsung Electronics (SMSN). With negative z-scores across all timeframes, the spread is currently trading below its historical mean, suggesting LRCX is statistically "cheap" relative to SMSN.
Technical Diagnostics
- Roll Z-Score: -1.49 (1h), -1.65 (4h), -1.33 (1d). The consistent negative z-scores indicate the pair is currently in a mean-reversion zone, favoring a Long LRCX / Short SMSN position.
- Correlation: Moderate to high (0.61–0.80), supporting the pair's structural relationship.
- Hedge Ratio (4h): ~0.97 (approx. 1:1 sizing).
- Half-Life: 10h (4h timeframe), suggesting a relatively fast mean-reversion cycle.
Setup Remark
The trade is technically well-aligned with mean-reversion signals. Because the z-score is negative, you are effectively buying the "cheap" leg (LRCX) and selling the "rich" leg (SMSN) to capture the spread widening back to the mean. Given the 10h half-life, this is a short-to-medium-term tactical play rather than a long-term structural hold. Monitor the 4h z-score closely; if it continues to drift further negative, the mean-reversion thesis remains intact, but if it crosses back toward zero, the edge is exhausted.
Note: Sentiment data for these specific assets is currently unavailable. Ensure you cross-reference this technical setup with any upcoming earnings or sector-specific news for the semiconductor industry, as idiosyncratic volatility can override statistical mean-reversion.
LRCX
SMSN