Correlation: 0.71 · Cointegrated: yes
Z-score: -1.11 entry / -2.88 rolling
Half-life 1.7h · Hurst 0.91 · Hedge ratio 1.64
Pair volatility: 30.04%
Backtest: 61.54% win · Sharpe 0.38 · 0.24% return · 1.54% max drawdown
Pair Analysis: Long POLYX / Short XRP
- Roll Z-Score: -3.32 (1h), -2.08 (4h), 0.89 (1d)
- Correlation: 0.71 (1h)
- Cointegration: True
- Half-Life: 41h (1h), 9h (4h)
- Hedge Ratio: 1.54 (1h), 1.64 (4h)
Analysis:
- Statistical Setup: The 1h and 4h z-scores are deeply negative (-3.32 and -2.08), indicating that POLYX is statistically "cheap" relative to XRP on these timeframes. This supports a mean-reversion trade (Long POLYX / Short XRP) as the spread is currently stretched.
- Sentiment Conflict: There is a significant divergence between the statistical signal and market sentiment. POLYX is currently facing bearish sentiment with declining open interest and weak liquidity, while XRP is exhibiting bullish sentiment.
- Trade Note: While the statistical setup is compelling for a mean-reversion play, the fundamental sentiment is working against the trade. You are essentially betting that the statistical "cheapness" of POLYX will correct despite the bearish sentiment, while simultaneously betting against the bullish momentum of XRP. Proceed with caution, as the bearish sentiment on POLYX may indicate a structural weakness rather than a temporary deviation.
Note: 1h/4h z-scores are snapshots; verify if significant price action has occurred since the last update.
POLYX
XRP