Z-score (1.23) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.68 · Cointegrated: yes
Z-score: 2.03 entry / 1.23 rolling
Half-life 1.6h · Hurst 0.90 · Hedge ratio 0.56
Pair volatility: 31.27%
Backtest: 75.00% win · Sharpe 1.23 · 0.60% return · 0.89% max drawdown
Pair Analysis: Long POLYX / Short LINK
- Roll Z-Score (1h): 1.23 (Positive z-score indicates LINK is statistically "rich" relative to POLYX).
- Roll Z-Score (4h): 2.35
- Correlation: 0.68
- Half-Life (1h): 37h (~1.6 days)
Setup Remark:
This trade is a classic mean-reversion setup based on the spread divergence (LINK is currently trading rich relative to POLYX). However, sentiment is currently misaligned with the statistical signal:
- POLYX is facing bearish sentiment due to crowded long positioning and declining open interest.
- LINK remains bullish, supported by structural adoption (CCIP) and strong holder conviction.
Risk Note: While the statistical spread suggests a mean-reversion opportunity (Short LINK / Long POLYX), the fundamental sentiment is currently working against this trade. You are effectively betting against the stronger asset (LINK) and for the weaker one (POLYX) in a regime where the market is rewarding LINK's fundamentals. Proceed with caution; the statistical edge may be offset by the current sentiment divergence.
POLYX
LINK