Correlation: 0.78 · Cointegrated: yes
Z-score: 2.11 entry / 0.85 rolling
Half-life 3.5h · Hurst 0.89 · Hedge ratio 0.63
Pair volatility: 32.00%
Backtest: 76.47% win · Sharpe 0.68 · 0.43% return · 1.39% max drawdown
Pair Analysis: Long STRK / Short PEOPLE
This setup is a statistical mean-reversion play betting on the relative underperformance of PEOPLE against STRK.
Statistical Snapshot
- 1h Roll Z-Score: 1.30 (PEOPLE is rich relative to STRK)
- 4h Roll Z-Score: 2.40
- 1d Roll Z-Score: 0.81
- Correlation: 0.78 (1h)
- Hedge Weights (4h): 44.3% STRK / 55.7% PEOPLE
Analysis
- Alignment: Your chosen direction (Long STRK / Short PEOPLE) is quant-optimal based on the positive roll z-scores across all timeframes. You are effectively selling the "rich" leg (PEOPLE) and buying the "cheap" leg (STRK).
- Sentiment Context: Both assets currently carry bearish sentiment. STRK faces structural headwinds from supply unlocks, while PEOPLE lacks a clear bullish catalyst. This trade is a pure statistical divergence play rather than a directional conviction bet on either asset's fundamental strength.
- Risk Note: The 1h z-score snapshot is ~1.2 hours old. Given the high correlation (0.78), ensure the spread hasn't significantly compressed since the last data update before entry.
STRK
PEOPLE