Correlation: 0.80 · Cointegrated: yes
Z-score: -1.90 entry / -0.46 rolling
Half-life 1.8h · Hurst 0.86 · Hedge ratio 1.74
Pair volatility: 40.56%
Backtest: 56.00% win · Sharpe 1.41 · 1.24% return · 2.13% max drawdown
Pair Analysis: Long FARTCOIN / Short SOL
- Roll Z-Score: -1.64 (1h) / -0.48 (4h) / -1.75 (1d)
- Interpretation: The negative z-score indicates FARTCOIN is statistically "cheap" relative to SOL. The trade direction (Long FARTCOIN / Short SOL) aligns with the quant-optimal mean-reversion signal.
- Correlation: 0.80 (1h)
- Half-Life: 42h (1h) / 10h (4h)
- Hurst Exponent: 0.86 (1h) — indicates a strong trending regime, suggesting mean reversion may be difficult to capture in the short term.
Trade Remark
This setup is a high-risk mean-reversion play that directly conflicts with current market sentiment. While the statistical z-score suggests FARTCOIN is oversold relative to SOL, the fundamental backdrop is heavily skewed:
- Sentiment Divergence: FARTCOIN is facing bearish pressure from liquidation concerns and manipulation fears, while SOL remains fundamentally bullish with strong institutional tailwinds.
- Regime Risk: The high Hurst exponent (0.86) suggests the pair is currently in a trending regime rather than a mean-reverting one. Entering a long-FARTCOIN/short-SOL position here is effectively "catching a falling knife"—you are betting on a reversal against a strong trend driven by negative sentiment.
Recommendation: Exercise extreme caution. The statistical "cheapness" of FARTCOIN may be a value trap given the current sentiment divergence. Ensure tight risk management if executing, as the trend is currently working against the mean-reversion thesis.
FARTCOIN
SOL