Correlation: 0.60 · Cointegrated: yes
Z-score: -1.11 entry / -2.68 rolling
Half-life 1.9h · Hurst 0.90 · Hedge ratio 0.37
Pair volatility: 37.01%
Backtest: 76.00% win · Sharpe 2.45 · 1.71% return · 1.30% max drawdown
Pair Analysis: Long KAS / Short SUI
- Roll Z-Score (1h): -2.94 (Snapshot age: 1.2h)
- Roll Z-Score (4h): -2.80 (Snapshot age: 7.2h)
- Correlation: 0.60 (1h)
- Cointegration: True (1h/4h)
- Hedge Ratio (4h): 0.38 (Sizing: 72.4% KAS / 27.6% SUI)
Setup Remark
The pair is currently showing a strong mean-reversion signal to the upside for the spread (Long KAS / Short SUI), as indicated by the deeply negative z-scores on the 1h and 4h timeframes. This suggests KAS is statistically "cheap" relative to SUI. Sentiment for both assets is currently neutral, with KAS awaiting catalysts and SUI balancing ecosystem growth against potential unlock pressure. The trade is aligned with the quant-optimal direction on the shorter timeframes, though the 1d timeframe shows a divergence, suggesting this is a tactical, shorter-term mean-reversion play rather than a long-term structural trend.
Note: Z-scores are snapshots; verify recent price action as the 1h/4h data is slightly lagged.
KAS
SUI