Correlation: 0.69 · Cointegrated: yes
Z-score: 1.18 entry / 2.16 rolling
Half-life 1.4h · Hurst 0.91 · Hedge ratio 0.82
Pair volatility: 37.25%
Backtest: 83.33% win · Sharpe 2.94 · 2.43% return · 1.36% max drawdown
### Pair Analysis: Long ZK / Short FIL
* **Roll Z-Score:** 2.27 (1h) / 1.52 (4h) / 1.29 (1d)
* *Note:* Positive z-scores indicate the spread (FIL/ZK) is currently extended to the upside, meaning FIL is statistically "rich" relative to ZK. The trade direction (Long ZK / Short FIL) aligns with the quant-optimal mean-reversion strategy.
* **Correlation:** 0.69 (1h/4h)
* **Cointegration:** True
* **Half-Life:** 10h (4h timeframe)
* **Hedge Weights (4h):** 44.4% ZK / 55.6% FIL
### Sentiment & Technical Remark
* **Sentiment:** ZK sentiment is currently **bearish** due to recurring monthly supply unlocks and thin liquidity, which may create persistent downward pressure on the long leg. FIL sentiment is **neutral**, characterized by subdued market activity and a lack of significant catalysts.
* **Setup:** While the statistical setup (positive z-score) supports a mean-reversion trade (Long ZK / Short FIL), the fundamental bearish sentiment on ZK introduces risk. The trade is essentially betting that FIL's relative "richness" will correct faster than ZK's supply-side headwinds can drag it down. Monitor the 1h z-score closely, as the 1.2h age suggests the snapshot is relatively fresh but may not capture the most recent intraday volatility.
ZK
FIL