Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.80 · Cointegrated: yes
Z-score: 1.43 entry / 3.04 rolling
Half-life 5.8h · Hurst 0.92 · Hedge ratio 0.56
Pair volatility: 26.39%
Backtest: 63.64% win · Sharpe 1.83 · 1.08% return · 1.23% max drawdown
Pair Analysis: Long ZEN / Short SUI
This setup is a statistical mean-reversion trade currently aligned with the quant-optimal direction, though it faces significant sentiment headwinds.
Statistical Snapshot
- Roll Z-Score: 3.04 (1h) / 2.50 (4h) — Indicates SUI is statistically "rich" relative to ZEN.
- Correlation: 0.80 (1h) / 0.79 (4h) — Strong historical co-movement.
- Half-Life: ~5.8 days (1h) / ~1.7 days (4h) — Mean reversion is active but slower on the 1h timeframe.
- Quant-Optimal Direction: Long ZEN / Short SUI (Aligned with your requested direction).
Sentiment & Technical Context
- Sentiment Conflict: While the statistical model favors a Long ZEN / Short SUI mean-reversion, the fundamental sentiment is currently divergent. ZEN is showing bearish technicals and underperformance, while SUI is benefiting from bullish institutional demand and supply-side factors.
- Risk Note: You are effectively "fading" the sentiment trend. The statistical edge (z-score) suggests the spread has overextended, but the fundamental momentum is currently pushing against this reversion. Ensure your stop-loss accounts for the possibility of continued trend divergence rather than immediate mean reversion.
Note: Stats are snapshots; verify current price action as the 1h z-score is ~1.3h old.
ZEN
SUI