Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.88 · Cointegrated: yes
Z-score: -1.81 entry / -1.97 rolling
Half-life 1.2h · Hurst 0.89 · Hedge ratio 0.87
Pair volatility: 17.14%
Backtest: 70.83% win · Sharpe -2.36 · -0.78% return · 1.20% max drawdown
### Pair Analysis: BTC / LINK
* **Roll Z-Score (1h):** -1.97
* **Correlation:** 0.88
* **Hedge Ratio (4h):** 0.652 (Sizing: 0.65 units of LINK short per 1 unit of BTC long)
* **Half-Life (1h):** 28h
**Analysis:**
* **Mean Reversion:** The 1h Roll Z-Score of -1.97 indicates that BTC is currently statistically "cheap" relative to LINK. This setup is a classic mean-reversion play, betting that the spread will tighten as BTC potentially outperforms or LINK underperforms to close the valuation gap.
* **Sentiment:** Both assets currently hold bullish sentiment. BTC is seeing whale accumulation, while LINK is benefiting from strong structural market-share gains. Because both assets are trending in the same direction, the pair trade may face higher correlation risk; the trade relies on BTC's relative strength rather than a directional move in either asset.
* **Execution Note:** The 1h Z-score is ~1.2h old. Given the high correlation (0.88), ensure the spread has not diverged further due to rapid intraday volatility before entry.
BTC
LINK