Correlation: 0.67 · Cointegrated: yes
Z-score: 1.12 entry / 2.44 rolling
Half-life 5.6h · Hurst 0.91 · Hedge ratio 0.27
Pair volatility: 39.69%
Backtest: 63.64% win · Sharpe -1.28 · -1.26% return · 3.99% max drawdown
Pair Analysis: Long PENGU / Short CRV
- Roll Z-Score (1h): 2.77 (CRV is statistically rich relative to PENGU)
- Roll Z-Score (4h): 3.21
- Correlation: 0.67 (1h)
- Half-Life: ~5.6 days (1h timeframe)
- Hedge Weights (4h): 17.0% PENGU / 83.0% CRV (sizing recommendation)
Analysis Notes:
- Mean Reversion: The positive Z-score (2.77) indicates that CRV is currently trading at a premium relative to PENGU. The user's direction (Long PENGU / Short CRV) is aligned with the mean-reversion signal.
- Sentiment: PENGU sentiment is bullish, with technicals suggesting a potential breakout. CRV sentiment is neutral.
- Execution: Both assets are tradeable on Hyperliquid (PENGU max 5x, CRV max 10x).
- Data Staleness: 1h Z-score is ~1.2h old; 4h Z-score is ~7.2h old. Verify current price action before entry.
PENGU
CRV