Correlation: 0.68 · Cointegrated: yes
Z-score: 1.19 entry / 2.35 rolling
Half-life 1.3h · Hurst 0.87 · Hedge ratio 0.57
Pair volatility: 37.84%
Backtest: 83.33% win · Sharpe 4.00 · 2.92% return · 1.10% max drawdown
Pair Analysis: ZK / FIL
- Roll Z-Score: 2.35 (1h) / 2.05 (4h)
- Correlation: 0.68 (1h)
- Hedge Ratio: 0.56 (4h)
- Half-Life: 31h (1h)
Setup Remark:
This is a relative-value mean reversion trade. The positive Z-score (>2.0) indicates that FIL is statistically "rich" relative to ZK on shorter timeframes. While both assets carry bearish sentiment, the trade relies on FIL's structural weakness and "dead coin" narrative
ZK
FIL