Correlation: 0.67 · Cointegrated: yes
Z-score: 0.83 entry / 2.69 rolling
Half-life 1.8h · Hurst 0.89 · Hedge ratio 1.32
Pair volatility: 23.99%
Backtest: 72.00% win · Sharpe 2.24 · 1.24% return · 0.78% max drawdown
Pair Analysis: Long UMA / Short ETC
- Roll Z-Score (1h): 1.63 (Snapshot age: 1.2h)
- Roll Z-Score (4h): 1.64 (Snapshot age: 4.2h)
- Roll Z-Score (1d): -1.29 (Snapshot age: 1.3d)
- Correlation: 0.72 (4h)
- Half-Life: 17h (4h timeframe)
Analysis:
- Directional Alignment: The 1h and 4h z-scores are positive (~1.64), confirming that ETC is currently "rich" relative to UMA. Your stated direction (Long UMA / Short ETC) aligns with the quant-optimal mean-reversion signal on these shorter timeframes.
- Divergence Note: The 1d z-score is negative (-1.29), indicating a potential conflict between short-term mean reversion and longer-term trend positioning. The short half-life (17h on 4h) suggests the pair is actively mean-reverting, but the 1d data warns that the longer-term relationship may be shifting.
- Sentiment: Both assets are currently viewed as bearish. UMA is experiencing a post-pump drift with declining volume, while ETC suffers from low liquidity and general apathy. This lack of positive catalyst for either leg suggests this trade is purely a relative-value play rather than a directional conviction bet.
Trade Construction:
- Hedge Weights (4h): 33.7% UMA / 66.3% ETC.
- Execution: Both assets are available on Hyperliquid (Core). Ensure you are comfortable with the bearish sentiment backdrop for both legs, as this trade relies on the spread narrowing rather than absolute price appreciation.
UMA
ETC