Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.67 · Cointegrated: yes
Z-score: 1.52 entry / 2.34 rolling
Half-life 1.7h · Hurst 0.89 · Hedge ratio 0.83
Pair volatility: 39.55%
Backtest: 83.33% win · Sharpe 3.83 · 2.95% return · 1.10% max drawdown
Pair Analysis: Long ZK / Short FIL
This setup is currently identified as a live signal (Rank #4) on the platform, indicating a statistically significant divergence where FIL has become relatively "rich" compared to ZK.
- Roll Z-Score: 2.34 (1h) / 1.84 (4h)
- Interpretation: The positive z-score confirms that FIL is trading at a premium relative to ZK based on historical cointegration. The 1h z-score of 2.34 suggests a strong mean-reversion opportunity.
- Correlation: 0.67 (1h)
- Half-Life: 40h (1.7 days)
- Interpretation: The mean-reversion process is relatively slow, suggesting this is a medium-term trade rather than a quick scalp.
- Sentiment:
- ZK: Bearish. Persistent supply overhang from monthly token unlocks continues to weigh on price action, which may act as a headwind for the "Long" leg of this trade.
- FIL: Neutral. Market activity is currently subdued with no significant catalysts.
- Note: While the statistical signal is strong (FIL rich vs ZK), the bearish sentiment on ZK introduces directional risk to the long leg. Ensure your sizing accounts for the potential that ZK may continue to underperform broader market moves due to its specific supply dynamics.
ZK
FIL