Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.75 · Cointegrated: yes
Z-score: -3.12 entry / -1.58 rolling
Half-life 0.8h · Hurst 0.89 · Hedge ratio 0.94
Pair volatility: 33.31%
Backtest: 80.00% win · Sharpe 4.31 · 1.52% return · 0.92% max drawdown
Pair Analysis: Long COHR / Short DRAM
This setup is currently showing a strong mean-reversion signal, with the spread trading significantly below its historical mean.
- Roll Z-Score: -1.58 (1h), -2.55 (4h), -1.59 (1d)
- Interpretation: The negative Z-scores across all timeframes indicate that COHR is currently "cheap" relative to DRAM. A Z-score of -2.55 on the 4h timeframe suggests a statistically significant deviation, supporting a mean-reversion trade (Long COHR / Short DRAM).
- Correlation: 0.75 (1h), 0.71 (4h), 0.79 (1d)
- Interpretation: The pair maintains a solid correlation, which is essential for a pair trade to function effectively as a hedge.
- Half-Life: 18h (1h), 62h (4h), 11h (1d)
- Interpretation: The 1h and 1d half-lives suggest a relatively quick mean-reversion potential, though the 4h half-life is longer, indicating the spread may take more time to close if the 4h regime dominates.
- Sentiment: No specific sentiment data is available for these assets at this time.
Note: The trade direction (Long COHR / Short DRAM) is aligned with the quant-optimal mean-reversion strategy, as the negative Z-score indicates COHR is undervalued relative to DRAM. Ensure you are aware of the different collateral requirements for these legs (COHR on para / USDC; DRAM on xyz / USDC).
COHR
DRAM