Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.64 · Cointegrated: yes
Z-score: 1.35 entry / 2.49 rolling
Half-life 1.0h · Hurst 0.88 · Hedge ratio 0.79
Pair volatility: 39.73%
Backtest: 80.00% win · Sharpe 5.76 · 3.46% return · 0.52% max drawdown
Pair Analysis: Long ZK / Short GMT
- Roll Z-Score (1h): 2.49 (GMT is rich relative to ZK)
- Roll Z-Score (4h): 1.05
- Correlation: 0.64 (1h)
- Hedge Ratio: 0.787 (4h)
- Cointegration: True
Sentiment & Technical Context
- ZK (Bearish): Sentiment is weighed down by concerns over tokenomics and upcoming monthly supply unlocks (~1.73% of market cap).
- GMT (Bullish): Sentiment is strong, driven by a significant short squeeze, a 245% surge in Open Interest, and a $122M buyback program.
Remark
This setup is a high-conviction contrarian mean-reversion play. While the 1h Z-score of 2.49 indicates that GMT is statistically "rich" relative to ZK (supporting your Long ZK / Short GMT direction), you are trading directly against strong fundamental momentum. The bullish sentiment and short-squeeze dynamics in GMT create significant "anti-mean-reversion" risk. If you enter, ensure tight risk management, as the fundamental tailwinds for GMT may override the statistical spread divergence.
ZK
GMT