Correlation: 0.84 · Cointegrated: yes
Z-score: -0.84 entry / -2.00 rolling
Half-life 2.0h · Hurst 0.90 · Hedge ratio 0.94
Pair volatility: 20.51%
Backtest: 46.15% win · Sharpe -1.41 · -0.71% return · 1.39% max drawdown
Pair Analysis: Long LINK / Short LTC
- Roll Z-Score (1h): -2.73 (LINK is statistically "cheap" relative to LTC on a short-term basis)
- Roll Z-Score (4h): -0.63
- Roll Z-Score (1d): 0.10
- Correlation: 0.84 (1h)
- Half-Life: 48h (1h timeframe)
Trade Context & Sentiment:
- Mean Reversion Signal: The 1h z-score of -2.73 is a strong statistical signal that the LINK/LTC spread has deviated significantly below its mean, supporting a "Long LINK / Short LTC" mean-reversion trade.
- Sentiment Divergence: There is a clear conflict between the statistical signal and market sentiment. LINK is currently facing bearish sentiment, while LTC is seeing bullish momentum.
- Risk Note: This trade is a "catch the falling knife" setup. While the statistical spread suggests LINK is oversold relative to LTC, the sentiment divergence implies that the spread could remain depressed or widen further if the bearish sentiment on LINK persists. The 1h z-score is fresh (1.3h old), but the 1d z-score (0.10) suggests the pair is closer to fair value on a longer timeframe, indicating the current "cheapness" is a short-term phenomenon.
Hedge Weights (for sizing):
- 4h Weights: 46.8% LINK / 53.2% LTC (Use these for position sizing).
- 1d Weights: 52.7% LTC / 47.3% LINK (Available if you prefer a longer-term view).
LINK
LTC