Z-score (1.44) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.63 · Cointegrated: yes
Z-score: 1.57 entry / 1.44 rolling
Half-life 1.1h · Hurst 0.90 · Hedge ratio 0.58
Pair volatility: 39.61%
Backtest: 80.00% win · Sharpe 5.36 · 3.32% return · 0.75% max drawdown
Pair Analysis: ZK / GMT
Trade Direction: Long ZK / Short GMT
Statistical Snapshot
- 1h Roll Z-Score: 1.44 (GMT is rich relative to ZK; 1.3h old)
- 4h Roll Z-Score: 0.28 (6.3h old)
- 1d Roll Z-Score: 0.33 (1.1d old)
- Correlation: 0.63 (1h)
- Cointegration: True
- Hedge Weights (4h): 37.4% ZK / 62.6% GMT
Sentiment & Context
- ZK (Bearish): Sentiment is weighed down by concerns over tokenomics and upcoming supply unlocks.
- GMT (Bullish): Sentiment is strong, driven by a significant short squeeze, a 245% surge in Open Interest, and a $122M buyback program.
Remark
This setup is a high-conviction contrarian play that fights current market momentum. While the 1h z-score (1.44) suggests GMT is statistically "rich" relative to ZK—supporting a mean-reversion trade—the fundamental sentiment is diametrically opposed. You are effectively betting that the statistical spread will tighten (GMT mean-reverting lower) despite GMT's strong bullish catalysts (short squeeze/buybacks) and ZK's bearish headwinds (unlocks). Proceed with caution; the statistical edge is currently battling strong directional sentiment.
ZK
GMT