Correlation: 0.63 · Cointegrated: yes
Z-score: 0.89 entry / 1.69 rolling
Half-life 1.0h · Hurst 0.89 · Hedge ratio 0.91
Pair volatility: 39.72%
Backtest: 80.00% win · Sharpe 4.74 · 3.00% return · 0.97% max drawdown
Pair Analysis: ZK / GMT
- Roll Z-Score (1h): 2.81 (GMT is rich vs ZK)
- Roll Z-Score (4h): 1.54 (GMT is rich vs ZK)
- Correlation: 0.63 (1h)
- Cointegration: True
- Hedge Ratio (4h): 0.905 (Sizing: 47.5% ZK / 52.5% GMT)
Setup Remark
This setup is a high-conviction mean-reversion play on the spread that directly conflicts with current market sentiment.
- Technical Divergence: The 1h and 4h z-scores (2.81 and 1.54) indicate that GMT is currently "rich" relative to ZK, providing a strong statistical basis for the Long ZK / Short GMT trade.
- Sentiment Conflict: You are "fighting the tape." ZK sentiment is currently bearish due to tokenomics and upcoming unlocks, while GMT is experiencing bullish momentum driven by a short squeeze and active buyback programs.
- Risk: While the statistical spread is stretched, the fundamental momentum is currently working against this trade. The 1d z-score (-0.77) also suggests that on a longer timeframe, the pair has not yet fully diverged, implying this is a short-term tactical trade rather than a structural one.
Note: Both assets are tradeable on Hyperliquid (Core).
ZK
GMT