Correlation: 0.73 · Cointegrated: yes
Z-score: -1.15 entry / -1.68 rolling
Half-life 1.4h · Hurst 0.92 · Hedge ratio 1.07
Pair volatility: 28.52%
Backtest: 50.00% win · Sharpe 0.43 · 0.36% return · 2.22% max drawdown
Pair Analysis: ACE / YGG
Stats (Snapshot)
- 1h Roll Z-Score: -1.84 (Age: 1.2h)
- 4h Roll Z-Score: -1.93 (Age: 6.2h)
- 1d Roll Z-Score: -0.94 (Age: 1.9d)
- Correlation: 0.73 (1h)
- Hedge Ratio (4h): 1.008 (ACE/YGG)
Setup Remark
- Directional Alignment: The user-specified direction (Long ACE / Short YGG) is quant-optimal. The negative z-scores indicate ACE is currently "cheap" relative to YGG, supporting a mean-reversion long on ACE and short on YGG.
- Sentiment Context: Both assets carry bearish sentiment. ACE faces significant supply pressure from upcoming token unlocks, while YGG is struggling with structural model failure and persistent supply overhang.
- Risk Note: While the pair is statistically mean-reverting, the shared bearish sentiment suggests this is a relative-value play rather than a directional bullish bet. The 4h z-score (-1.93) is approaching the -2.0 threshold, suggesting the spread is stretched; monitor for potential mean reversion as the supply-side narratives for both tokens play out.
ACE
YGG