Correlation: 0.79 · Cointegrated: yes
Z-score: 2.11 entry / 1.09 rolling
Half-life 2.2h · Hurst 0.89 · Hedge ratio 0.73
Pair volatility: 35.04%
Backtest: 66.67% win · Sharpe 0.90 · 0.36% return · 1.22% max drawdown
Pair Analysis: Long PENGU / Short BTC
This setup is a mean-reversion trade betting that PENGU is currently undervalued relative to BTC.
Statistical Diagnostics
- 1h Roll Z-Score: 1.46 (BTC is rich relative to PENGU; supports your Long PENGU / Short BTC direction)
- 4h Roll Z-Score: 2.05 (Stronger signal of BTC richness)
- 1d Roll Z-Score: 1.18 (Divergent signal; 1d timeframe suggests BTC is cheap relative to PENGU)
- Correlation: 0.79 (1h) — moderate-to-high, indicating the pair moves together but has significant idiosyncratic variance.
- Half-Life: 17h (4h timeframe) — suggests a relatively fast mean-reversion cycle.
Sentiment & Context
- PENGU (Bullish): Sentiment is supported by an active burn mechanism and a recent $9M seed round, providing fundamental backing for the asset despite lower social volume.
- BTC (Bullish): Sentiment remains structurally bullish due to low exchange reserves, though current "extreme fear" levels often signal potential volatility.
- Note: The 1h and 4h z-scores are positive, which aligns with your trade direction (Long PENGU / Short BTC). However, the 1d z-score is lower and shows a different optimal direction, suggesting that while the short-term mean reversion setup is active, the longer-term trend is less clear.
Hedge Weights (Sizing)
- 4h Weights: 30.4% PENGU / 69.6% BTC (Recommended for sizing)
- 1d Weights: 64.1% PENGU / 35.9% BTC (Available for reference; note the material divergence from 4h)
PENGU
BTC