Correlation: 0.66 · Cointegrated: yes
Z-score: -1.94 entry / -0.73 rolling
Half-life 1.3h · Hurst 0.89 · Hedge ratio 0.73
Pair volatility: 31.60%
Backtest: 87.50% win · Sharpe 3.81 · 2.18% return · 0.72% max drawdown
Pair Analysis: Long CFX / Short ENS
- Roll Z-Score (1h): -1.45 (CFX is statistically "cheap" relative to ENS)
- Roll Z-Score (4h): -0.23
- Roll Z-Score (1d): -2.07
- Correlation: 0.66 (1h)
- Hedge Ratio (4h): 0.741 (Sizing: ~57% CFX / ~43% ENS)
Setup Remark:
This is a mean-reversion trade betting that the current spread—where CFX has become statistically cheap relative to ENS—will tighten. The negative z-scores across multiple timeframes (especially the 1d at -2.07) suggest the pair is currently stretched in favor of a long-CFX/short-ENS position.
Risk Note:
There is a clear sentiment divergence here:
- CFX is currently facing bearish social sentiment.
- ENS is experiencing bullish sentiment driven by structural upgrades and adoption news.
While the statistical signal supports the trade (buying the "cheap" asset), you are effectively fading the current fundamental momentum. Ensure your stop-loss is tight, as the statistical "cheapness" of CFX may persist if the bearish sentiment continues to weigh on its price relative to the bullish momentum in ENS.
CFX
ENS