Correlation: 0.80 · Cointegrated: yes
Z-score: -1.63 entry / -1.07 rolling
Half-life 1.7h · Hurst 0.86 · Hedge ratio 0.87
Pair volatility: 29.13%
Backtest: 76.00% win · Sharpe 0.22 · 0.14% return · 2.94% max drawdown
Pair Analysis: Long DASH / Short ZEN
Statistical Diagnostics
- 1h Roll Z-Score: -1.95 (DASH is statistically cheap relative to ZEN)
- 4h Roll Z-Score: -1.19
- 1d Roll Z-Score: -0.95
- Correlation: 0.80 (1h)
- Cointegration: True
- Half-Life: 41h (1h timeframe)
Setup Remark
The pair is currently showing a strong mean-reversion signal on the 1h timeframe (Z-score of -1.95), suggesting DASH is oversold relative to ZEN. The cointegration is robust, supporting the validity of the spread.
Sentiment & Risk Note
- Sentiment Conflict: While the statistical setup favors a Long DASH / Short ZEN position, there is a sentiment headwind: ZEN currently carries bullish sentiment driven by staking catalysts and institutional interest. This may create upward pressure on the short leg (ZEN) that could dampen the effectiveness of the mean-reversion trade.
- Execution: Both assets are available on Hyperliquid (Core/USDC). Ensure sizing accounts for the 1h snapshot age (~1.2h) and the potential for ZEN's bullish sentiment to persist against the statistical mean-reversion signal.
DASH
ZEN