Correlation: 0.80 · Cointegrated: yes
Z-score: 1.91 entry / 0.96 rolling
Half-life 4.1h · Hurst 0.91 · Hedge ratio 0.48
Pair volatility: 21.88%
Backtest: 72.73% win · Sharpe -0.10 · -0.10% return · 1.90% max drawdown
Pair Analysis: Long SAND / Short LINK
- Roll Z-Score: 1.63 (1h) / 1.63 (4h) / 2.10 (1d)
- Interpretation: The positive z-score indicates that LINK is currently "rich" relative to SAND. Your chosen direction (Long SAND / Short LINK) is quant-optimally aligned with this mean-reversion signal.
- Correlation: 0.80 (Strong)
- Half-Life: 29h (4h timeframe) — suggests a moderate mean-reversion horizon.
- Hedge Weights (4h): 38.4% SAND / 61.6% LINK
Sentiment & Technical Context
- SAND (Bearish): Sentiment is weighed down by the cooling metaverse narrative and persistent concerns regarding insider token unlocks creating sell-side overhang.
- LINK (Bullish): Sentiment is supported by structural adoption via CCIP integrations and significant exchange outflows, which typically signal tightening liquid supply and strong holder conviction.
Summary
This setup is statistically and fundamentally aligned. You are effectively fading the relative strength of LINK against a fundamentally weaker SAND. The positive z-score confirms LINK is extended relative to its historical spread with SAND, and the sentiment divergence (Bullish LINK vs. Bearish SAND) provides a strong macro tailwind for this mean-reversion trade.
SAND
LINK