Z-score (1.40) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.77 · Cointegrated: yes
Z-score: 2.04 entry / 1.40 rolling
Half-life 4.8h · Hurst 0.92 · Hedge ratio 0.91
Pair volatility: 27.90%
Backtest: 50.00% win · Sharpe -2.14 · -1.16% return · 2.14% max drawdown
Pair Analysis: Long SUI / Short LTC
This setup is a relative strength play where you are betting that SUI will outperform LTC as the spread mean-reverts.
Statistical Diagnostics
- Roll Z-Score: 1.40 (1h), 2.40 (4h), 1.67 (1d). The 4h z-score of 2.40 indicates the spread is significantly extended, suggesting LTC is currently "rich" relative to SUI.
- Correlation: ~0.77 (1h/4h), indicating a strong historical relationship suitable for pair trading.
- Hedge Ratio (4h): 0.733 (Size $100 of SUI long against ~$73 of LTC short).
- Half-Life (4h): ~38 hours (~1.6 days), indicating a moderate speed of mean reversion.
Sentiment & Context
- SUI (Bullish): Sentiment is driven by institutional demand via spot ETFs and a supply squeeze from the Sui Foundation's treasury staking.
- LTC (Bullish): Sentiment is supported by institutional custody integration and whale accumulation, though it faces technical resistance at the 200-day moving average.
- Trade Framing: Because both assets carry bullish sentiment, this is a relative strength trade. You are not betting on a directional collapse of LTC, but rather that SUI's specific supply-side catalysts will drive it to outperform LTC in the near term.
Note on Alignment
The requested direction (Long SUI / Short LTC) is quant-optimal based on the current positive z-score (LTC is rich vs. SUI). The 4h z-score is the most extended, providing the strongest signal for this entry.
SUI
LTC