Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.74 · Cointegrated: yes
Z-score: -1.91 entry / -2.26 rolling
Half-life 0.5h · Hurst 0.83 · Hedge ratio 0.98
Pair volatility: 34.47%
Backtest: 77.78% win · Sharpe 3.51 · 0.66% return · 0.70% max drawdown
Pair Analysis: Long COHR / Short MU
Pair Stats
- Roll Z-Score: -2.26 (1h) | -1.16 (4h) | -1.20 (1d)
- Correlation: 0.74 (1h)
- Half-Life: 13h (1h)
- Hedge Ratio: 0.98 (1h) | 1.12 (4h) | 0.80 (1d)
- Cointegration: True (1h)
Sentiment & Context
- MU: Bullish. Strong fundamentals driven by HBM demand (sold out through 2026) and a structural supply-demand imbalance. The recent price action is viewed as a sector-wide reset rather than a company-specific weakness.
- COHR: No specific sentiment data available.
Remark
This setup is a statistical mean-reversion play, with the 1h z-score of -2.26 indicating that the COHR/MU spread is currently significantly "cheap" (COHR is underperforming relative to its historical relationship with MU). While the statistical signal is strong, the fundamental backdrop presents a divergence risk: MU is currently supported by strong bullish sentiment and structural tailwinds in the HBM market. Shorting MU into this strength requires caution, as the "rich" leg of your pair is fundamentally supported. Ensure your stop-loss accounts for the possibility of MU continuing to outperform due to its specific sector tailwinds.
COHR
MU