Z-score (-1.50) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.67 · Cointegrated: yes
Z-score: -2.90 entry / -1.50 rolling
Half-life 5.8h · Hurst 0.87 · Hedge ratio 1.68
Pair volatility: 33.23%
Backtest: 75.00% win · Sharpe 0.07 · -0.01% return · 2.11% max drawdown
Pair Analysis: Long LITE / Short TER
This setup is currently identified as a high-conviction, fresh signal (Edge: 100%, Age: 0m).
Statistical Diagnostics
- Roll Z-Score: -1.50 (1h) / -3.24 (4h)
- Note: Negative z-scores indicate the spread is currently below its mean, suggesting LITE is relatively "cheap" compared to TER.
- Correlation: 0.67 (1h) / 0.71 (4h)
- Cointegration: True (1h) / False (4h)
- Half-Life: ~138h (~5.8 days)
- Hurst Exponent: 0.87 (1h) / 0.78 (4h)
- Note: Hurst > 0.5 suggests a trending regime; mean-reversion strategies in trending markets require tighter risk management.
Trade Construction
- Direction: Long LITE / Short TER (Aligned with quant-optimal direction).
- Hedge Weights (Sizing):
- 4h (Recommended for sizing): 47.4% LITE / 52.6% TER (Hedge Ratio: 1.111)
- 1h (Alternative): 37.4% LITE / 62.6% TER (Hedge Ratio: 1.675)
Execution Context
- LITE: Tradeable on Hyperliquid (
xyz deployer, 10x max leverage).
- TER: Tradeable on Hyperliquid (
para deployer, 10x max leverage).
- Note: These assets reside on different deployers; ensure both
xyz and para collateral requirements are met in your account.
LITE
TER