Correlation: 0.82 · Cointegrated: yes
Z-score: 1.12 entry / 2.04 rolling
Half-life 2.6h · Hurst 0.90 · Hedge ratio 0.92
Pair volatility: 21.75%
Backtest: 46.43% win · Sharpe -2.36 · -1.21% return · 1.58% max drawdown
Pair Analysis: Long LTC / Short LINK
- Roll Z-Score: 2.89 (1h) / 2.15 (4h)
- Correlation: 0.82
- Hedge Ratio: 0.956 (4h)
- Half-Life: 64h (1h) / 16h (4h)
Analysis & Remark:
The pair is currently showing a significant divergence, with a 1h Roll Z-Score of 2.89 indicating that LINK is statistically "rich" relative to LTC. While both assets currently hold bullish sentiment—LTC driven by ETF/treasury optimism and LINK by institutional adoption (DTCC/tokenization)—the high z-score suggests LINK has outperformed LTC beyond their historical correlation, creating a mean-reversion opportunity. The trade aligns with the quant-optimal direction (Long LTC / Short LINK). Given the bullish sentiment on both legs, monitor for a potential "bullish catch-up" where LTC rallies to close the spread rather than LINK correcting downward.
LTC
LINK