Correlation: 0.75 · Cointegrated: yes
Z-score: 1.98 entry / 0.55 rolling
Half-life 2.1h · Hurst 0.91 · Hedge ratio 0.62
Pair volatility: 31.27%
Backtest: 61.29% win · Sharpe 0.69 · 0.36% return · 1.32% max drawdown
Pair Analysis: Long USUAL / Short LINK
Statistical Diagnostics
- Roll Z-Score (1h): 1.39
- Roll Z-Score (4h): 0.33
- Roll Z-Score (1d): 1.45
- Correlation: 0.75 (1h) | 0.71 (4h) | 0.60 (1d)
- Cointegration: True (4h, 1d)
- Half-Life: 13h (4h) | 6h (1d)
- Hedge Weights (4h): 37.6% USUAL / 62.4% LINK
Sentiment & Context
- USUAL: Bullish sentiment driven by strong fundraising momentum and positive community engagement.
- LINK: Bearish sentiment characterized by stagnant market activity and negative outlooks in prediction markets.
- Alignment: The trade direction (Long USUAL / Short LINK) is aligned with the quant-optimal direction (Long USUAL / Short LINK), as the positive z-score indicates LINK is currently rich relative to USUAL.
Note: The 4h z-score (0.33) suggests the mean-reversion setup is currently moderate, while the 1d z-score (1.45) indicates a more significant divergence. The 1h snapshot is ~1.2h old; verify recent price action before entry.
USUAL
LINK