Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: 1.32 entry / 1.73 rolling
Half-life 0.7h · Hurst 0.90 · Hedge ratio 1.10
Pair volatility: 30.68%
Backtest: 80.00% win · Sharpe 4.69 · 0.99% return · 0.92% max drawdown
Pair Analysis: Long DRAM / Short COHR
This setup targets a mean-reversion play based on the current spread divergence.
- Roll Z-Score (1h): +1.73 (COHR is statistically rich relative to DRAM)
- Roll Z-Score (4h): +1.07
- Roll Z-Score (1d): -0.60
- Correlation: 0.72 (1h)
- Half-Life: 16h (1h timeframe)
Analysis:
- Divergence: The 1h and 4h z-scores are positive, indicating that COHR has recently outperformed DRAM relative to their historical relationship. The 1h z-score of +1.73 suggests a significant short-term deviation, supporting a mean-reversion trade (selling the rich asset, COHR, and buying the cheap asset, DRAM).
- Timeframe Conflict: Note that the 1d z-score is -0.60, suggesting that on a longer horizon, the pair is slightly inverted. This indicates the current trade is a short-term tactical play rather than a long-term structural convergence.
- Sentiment: No specific sentiment data is available for these assets.
- Execution Note: DRAM (
xyz:DRAM) and COHR (para:COHR) reside on different deployers (xyz and para). Ensure you have the required collateral (USDC) funded on both deployers to execute this pair.
DRAM
COHR