Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.67 · Cointegrated: yes
Z-score: -1.30 entry / -1.56 rolling
Half-life 1.8h · Hurst 0.91 · Hedge ratio 1.05
Pair volatility: 24.90%
Backtest: 58.33% win · Sharpe 0.91 · 0.56% return · 1.31% max drawdown
Pair Analysis: Long ASML / Short XYZ100
- Roll Z-Score: -1.56 (1h), -1.03 (4h), -0.77 (1d)
- Correlation: 0.67 (1h), 0.70 (4h), 0.81 (1d)
- Cointegration: True (1h, 4h)
- Hedge Ratio: ~1.05 (4h)
Analysis:
- Mean Reversion: The negative z-score across all timeframes indicates that ASML is currently "cheap" relative to XYZ100, aligning with your directional intent (Long ASML / Short XYZ100). The 1h z-score of -1.56 suggests a statistically significant deviation from the mean, providing a strong entry signal for a mean-reversion trade.
- Sentiment Headwinds: While the statistical setup is favorable, note that XYZ100 sentiment is currently bullish following a strong earnings beat and raised guidance. This creates a potential divergence risk where the short leg (XYZ100) may remain resilient or continue to outperform despite the statistical mean-reversion signal.
- Execution: The pair shows solid cointegration on shorter timeframes (1h/4h), suggesting the spread is mean-reverting. Monitor the 1h z-score closely, as it is the most sensitive to recent price action.
ASML
XYZ100