Correlation: 0.64 · Cointegrated: yes
Z-score: -1.10 entry / -2.46 rolling
Half-life 1.4h · Hurst 0.90 · Hedge ratio 0.76
Pair volatility: 38.98%
Backtest: 70.83% win · Sharpe 3.85 · 3.58% return · 1.16% max drawdown
Pair Analysis: Long DYM / Short PNUT
- Roll Z-Score: -3.02 (1h) / -1.89 (4h)
- Interpretation: The pair is currently at a significant negative z-score, indicating DYM is statistically "cheap" relative to PNUT. The 1h z-score of -3.02 suggests a strong mean-reversion setup where the spread is stretched in favor of a Long DYM / Short PNUT position.
- Correlation: 0.64 (1h)
- Cointegration: True (1h/4h)
- Hedge Weights (4h): 58.1% DYM / 41.9% PNUT
Sentiment & Technical Context
- Sentiment: Both assets carry bearish sentiment. DYM is viewed as having limited fundamental momentum, while PNUT is experiencing a deflation of speculative froth.
- Trade Logic: This is a relative value play. You are not betting on a bullish breakout for DYM, but rather that the current spread—where DYM has been beaten down significantly more than PNUT—is unsustainable and will revert.
- Risk Note: The trade relies on the statistical relationship (cointegration) holding. Given the bearish sentiment on both legs, the primary risk is a "race to the bottom" where PNUT holds up better than expected or DYM continues to suffer from its specific fundamental headwinds, causing the spread to widen further despite the current statistical extreme.
Note: Z-scores are snapshots (1h age); verify current price action as the extreme 1h z-score (-3.02) may reflect rapid intraday divergence.
DYM
PNUT