Correlation: 0.82 · Cointegrated: yes
Z-score: 1.19 entry / 2.04 rolling
Half-life 1.7h · Hurst 0.92 · Hedge ratio 0.84
Pair volatility: 32.92%
Backtest: 54.55% win · Sharpe -2.88 · -1.46% return · 1.67% max drawdown
Pair Analysis: PNUT / LINK
- Roll Z-Score: 2.18 (1h) | 1.58 (4h) | 0.91 (1d)
- Note: The 1h z-score of 2.18 indicates that LINK is currently statistically "rich" relative to PNUT. The trade (Long PNUT / Short LINK) is aligned with mean-reversion pressure.
- Correlation: 0.82 (1h)
- Hedge Ratio: 0.86 (4h)
- Sentiment:
- PNUT: Neutral (muted community activity).
- LINK: Bearish (weighed down by negative sentiment and low engagement).
Remark:
This setup is a classic mean-reversion play where the "rich" asset (LINK) is shorted against the "cheap" asset (PNUT). The positive z-score across all timeframes suggests the spread has widened significantly, particularly on the 1h window. The bearish sentiment on LINK provides a fundamental tailwind for the short leg, while PNUT's neutral sentiment suggests it may act as a stable anchor for the long leg. Given the high correlation (0.82), the pair is technically sound for a spread trade, though the 1h z-score is snapshot-based; verify current price action to ensure the spread hasn't already begun to compress.
PNUT
LINK