Correlation: 0.66 · Cointegrated: yes
Z-score: -0.49 entry / -2.07 rolling
Half-life 3.2h · Hurst 0.92 · Hedge ratio 0.69
Pair volatility: 38.98%
Backtest: 71.43% win · Sharpe 0.17 · 0.11% return · 2.84% max drawdown
Pair Analysis: Long ARM / Short MRVL
This setup aligns with the quant-optimal direction. The pair shows significant mean-reversion potential, particularly on the shorter timeframes.
Statistical Diagnostics
- 1h Roll Z-Score: -6.03 (Snapshot age: 1.2h)
- 4h Roll Z-Score: -1.63 (Snapshot age: 6.2h)
- 1d Roll Z-Score: -0.87 (Snapshot age: 1.9d)
- Correlation: 0.66 (1h)
- Cointegration: True (1h, 4h)
- Hedge Ratio (4h): 0.79 (Sizing: 56% ARM / 44% MRVL)
Analysis Remark
The 1h z-score of -6.03 indicates a sharp, recent divergence where ARM has become statistically "cheap" relative to MRVL. While the 4h and 1d z-scores are less extreme, the strong 1h signal suggests a potential mean-reversion opportunity if the spread narrows. Note that the 1h snapshot is relatively fresh, but given the high magnitude of the z-score, verify current price action to ensure the divergence hasn't already begun to close.
- Venue: Both assets are available on Hyperliquid (xyz deployer).
- Sentiment: No specific sentiment data available for this pair.
ARM
MRVL