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