Correlation: 0.66 · Cointegrated: yes
Z-score: -1.19 entry / -2.50 rolling
Half-life 1.4h · Hurst 0.85 · Hedge ratio 0.58
Pair volatility: 35.79%
Backtest: 83.33% win · Sharpe 1.95 · 1.30% return · 1.57% max drawdown
Pair Analysis: Long UMA / Short WCT
- Roll Z-Score (1h): -3.80 (UMA is statistically cheap relative to WCT)
- Roll Z-Score (4h): -1.56
- Correlation: 0.65 (1h)
- Half-Life: 33h (1h timeframe)
- Hedge Weights (4h): 65.5% UMA / 34.5% WCT
Analysis:
- Statistical Setup: The 1h z-score of -3.80 indicates a significant divergence where UMA is currently undervalued relative to WCT. This is a strong mean-reversion signal, suggesting the spread is stretched and likely to contract as UMA potentially outperforms or WCT underperforms.
- Sentiment Context:
- UMA: Sentiment is currently neutral, providing a stable baseline for the long leg.
- WCT: Sentiment is bearish, driven by concerns over significant upcoming token unlocks and a lack of deflationary mechanisms. This fundamental headwind supports the short leg of your trade.
- Trade Note: The trade is well-aligned with both the statistical mean-reversion signal (z-score < 0) and the fundamental divergence in sentiment. The 1h z-score is highly attractive, though ensure you monitor the 33h half-life, which suggests the reversion process may take time to play out.
UMA
WCT