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