Correlation: 0.67 · Cointegrated: yes
Z-score: -2.41 entry / -1.07 rolling
Half-life 1.5h · Hurst 0.91 · Hedge ratio 0.47
Pair volatility: 35.21%
Backtest: 75.00% win · Sharpe 3.43 · 2.48% return · 1.03% max drawdown
Pair Analysis: Long GMT / Short LINEA
- Roll Z-Score: -1.64 (1h) | -1.04 (4h) | -1.62 (1d)
- Interpretation: The spread is currently stretched to the downside (GMT is cheap relative to LINEA). The negative z-score indicates the pair is trading below its historical mean, supporting a mean-reversion long on the spread (Long GMT / Short LINEA).
- Correlation: 0.67 (1h) — Moderate correlation, providing a stable enough spread for mean-reversion strategies.
- Cointegration: True (1h/4h) — The pair exhibits a statistically significant relationship, increasing confidence in the mean-reversion signal.
- Hedge Weights (4h): 74.8% GMT / 25.2% LINEA (Use these for sizing).
Sentiment & Technical Context
- Sentiment: Both assets are currently facing bearish headwinds. GMT is struggling with supply overhang from recent unlocks, while LINEA is hampered by extreme whale concentration and upcoming supply pressure.
- Technical Note: The 1h z-score of -1.64 is ~1.2 hours old. Given the bearish sentiment on both legs, this trade is essentially a "relative value" play—betting that LINEA will underperform GMT (or decline faster) as the spread reverts to the mean.
- Risk: With both assets bearish, the primary risk is a correlated crash where the spread fails to revert, or a liquidity event in either asset breaks the cointegration. The Hurst exponent (0.90 on 1h) suggests the spread is currently trending rather than mean-reverting, so exercise caution; wait for a stabilization in the spread before entry.
GMT
LINEA