Z-score (1.26) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.78 · Cointegrated: yes
Z-score: 1.59 entry / 1.26 rolling
Half-life 5.4h · Hurst 0.91 · Hedge ratio 0.23
Pair volatility: 21.21%
Backtest: 64.29% win · Sharpe 1.48 · 0.46% return · 0.53% max drawdown
Pair Analysis: Long NEO / Short BTC
- Roll Z-Score: 1.26 (1h) / 1.77 (4h) / 2.00 (1d)
- Correlation: 0.78
- Hedge Ratio (4h): 0.33 (Long 0.33 NEO / Short 1.00 BTC)
- Half-Life (4h): ~34 hours
Remark:
This setup is a mean-reversion play betting that BTC is currently "rich" relative to NEO. The positive z-score across all timeframes suggests the spread has deviated significantly from its historical mean. However, exercise caution: both assets currently share a bullish sentiment profile, and the high correlation (0.78) indicates they often move in tandem. A pair trade here relies on NEO outperforming BTC (or BTC underperforming) rather than a directional move, which may be difficult if both assets are driven by the same macro tailwinds.
NEO
BTC