Correlation: 0.80 · Cointegrated: yes
Z-score: 1.10 entry / 2.32 rolling
Half-life 1.8h · Hurst 0.90 · Hedge ratio 1.41
Pair volatility: 29.24%
Backtest: 43.75% win · Sharpe 0.07 · 0.01% return · 1.19% max drawdown
Pair Analysis: Long STX / Short APT
This setup is statistically aligned with the current mean-reversion signal. The pair is currently trading at a stretched spread, with APT appearing relatively "rich" compared to STX.
Statistical Diagnostics
- Roll Z-Score: 3.50 (1h) / 2.55 (4h) — Note: Positive z-score indicates APT is currently rich relative to STX; the trade is betting on this spread mean-reverting.
- Correlation: 0.80 (1h) — Strong positive correlation, supporting the pair's stability.
- Cointegration: True (1h/4h) — The pair exhibits a stable long-term relationship.
- Half-Life: 12h (4h timeframe) — Indicates a relatively fast mean-reversion cycle.
- Hedge Ratio (4h): 56.7% STX / 43.3% APT — Use these weights for sizing.
Sentiment & Technical Context
- STX (Long): Sentiment is bearish due to a failed volume-spike breakout, but it is currently acting as the "cheaper" leg in this pair.
- APT (Short): Sentiment is bearish with a persistent supply overhang from monthly token unlocks. This structural selling pressure makes it a fundamentally sound candidate for the short leg of this pair.
Trade Note
The 1h z-score of 3.50 is significantly elevated, suggesting the spread is currently stretched. While the trade is statistically aligned, the high z-score implies the pair has moved rapidly; ensure your entry accounts for potential volatility in the spread.
STX
APT