Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.66 · Cointegrated: yes
Z-score: 2.93 entry / 2.69 rolling
Half-life 1.0h · Hurst 0.87 · Hedge ratio 0.86
Pair volatility: 22.89%
Backtest: 50.00% win · Sharpe -4.35 · -0.85% return · 0.92% max drawdown
Pair Analysis: Long USTECH / Short ASML
This setup is a classic mean-reversion trade, betting that ASML (the semiconductor equipment leader) is currently overextended relative to the broader USTECH index.
- Roll Z-Score: 2.69 (1h) / 2.00 (4h)
- Interpretation: The positive Z-score indicates the spread is statistically "rich" (ASML is trading at a premium relative to USTECH). Selling the rich asset (ASML) and buying the index (USTECH) aligns with the mean-reversion signal.
- Correlation: 0.66 (1h) / 0.71 (4h)
- Interpretation: Moderate-to-high correlation suggests the pair moves together, but there is sufficient divergence to trade the spread.
- Half-Life: ~24h (1h) / ~7h (4h)
- Interpretation: The spread exhibits mean-reverting tendencies on a relatively short timeframe, suggesting the trade is designed for a multi-day horizon rather than a quick scalp.
Trade Context:
- Direction: The user-specified direction (Long USTECH / Short ASML) is quant-optimal based on the positive Z-score (selling the rich leg, buying the cheap leg).
- Execution: Both assets are tradeable on Hyperliquid (
mkts:USTECH and xyz:ASML).
- Note: The Z-score is a snapshot; verify current price action, as a significant intraday move in either asset could alter the spread's current deviation.
USTECH
ASML