Correlation: 0.65 · Cointegrated: yes
Z-score: -1.51 entry / -0.07 rolling
Half-life 2.2h · Hurst 0.87 · Hedge ratio 1.08
Pair volatility: 38.25%
Backtest: 70.83% win · Sharpe 2.75 · 2.63% return · 1.47% max drawdown
Pair Analysis: Long DYM / Short PNUT
- Roll Z-Score (1h): -1.33
- Roll Z-Score (4h): -1.23
- Roll Z-Score (1d): -0.93
- Correlation: 0.65 (1h)
- Hedge Ratio (4h): 1.28 (Sizing: 44% DYM / 56% PNUT)
Remark:
This setup is a relative value mean-reversion play. The negative z-scores across all timeframes indicate that DYM is currently "cheap" relative to PNUT. While both assets carry bearish sentiment—DYM due to heavy linear vesting and low developer momentum, and PNUT due to shrinking volume and a liquidity drought—the pair trade isolates the relative performance between the two. You are effectively betting that PNUT will underperform DYM (or DYM will outperform PNUT) as the spread reverts toward its mean. Note that the 1h z-score is ~1.2 hours old; verify recent price action to ensure the spread hasn't already corrected.
DYM
PNUT