Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.65 · Cointegrated: yes
Z-score: 1.76 entry / 2.74 rolling
Half-life 0.6h · Hurst 0.86 · Hedge ratio 0.25
Pair volatility: 30.71%
Backtest: 54.55% win · Sharpe -2.78 · -0.40% return · 1.00% max drawdown
Pair Analysis: Long COHR / Short ASML
Pair Stats
- 1h Roll Z-Score: 2.74 (ASML is rich vs COHR; significant short-term divergence)
- 4h Roll Z-Score: 0.49
- 1d Roll Z-Score: 0.45
- Correlation: 0.65 (1h)
- Half-Life: 15h (1h timeframe)
- Hedge Weights (4h): 17.3% COHR / 82.7% ASML
Analysis
- Divergence: The 1h Roll Z-Score of 2.74 indicates a sharp, recent divergence where ASML has become statistically "rich" relative to COHR. This suggests a potential mean-reversion opportunity if the spread narrows.
- Timeframe Context: The divergence is primarily a short-term phenomenon. The 4h and 1d Z-scores (0.49 and 0.45) are significantly lower and closer to the mean, implying that the longer-term relationship remains relatively stable. The trade is essentially betting on a short-term correction of this recent spike.
- Execution Note: These assets reside on different deployers (
para:COHR and xyz:ASML). Ensure you have sufficient collateral in both the para and xyz pools, as these positions are not cross-margined by default.
Sentiment data is currently unavailable for these assets.
COHR
ASML