Correlation: 0.70 · Cointegrated: yes
Z-score: -1.56 entry / -1.06 rolling
Half-life 5.8h · Hurst 0.91 · Hedge ratio 1.24
Pair volatility: 29.86%
Backtest: 77.78% win · Sharpe -0.70 · -0.38% return · 1.69% max drawdown
Pair Analysis: Long ATOM / Short DOT
This setup is a mean-reversion trade targeting the relative undervaluation of ATOM against DOT.
- Roll Z-Score: -1.25 (1h) / -0.55 (4h) / -2.00 (1d)
- Interpretation: The negative z-scores across all timeframes indicate that ATOM is currently "cheap" relative to DOT. The 1d z-score of -2.00 suggests a significant statistical deviation, making this a strong mean-reversion candidate.
- Correlation: 0.58 – 0.70 (Moderate)
- Cointegration: Present (1h/4h)
- Hedge Weights (4h): 44.4% ATOM / 55.6% DOT
- Sentiment: Both assets are currently bearish. This makes a relative-value pair trade particularly attractive, as it allows you to isolate the performance spread between the two assets while neutralizing broader market directional risk.
Note: The trade direction (Long ATOM / Short DOT) is quant-optimal based on the z-score sign, as you are buying the relatively "cheap" asset and selling the "expensive" one.
Disclaimer: This analysis is for informational purposes only and does not constitute financial advice. All trading involves risk.
ATOM
DOT