Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.82 · Cointegrated: yes
Z-score: 1.40 entry / 1.55 rolling
Half-life 2.5h · Hurst 0.88 · Hedge ratio 1.10
Pair volatility: 21.64%
Backtest: 55.56% win · Sharpe -1.10 · -0.55% return · 1.47% max drawdown
Pair Analysis: Long LTC / Short LINK
- Roll Z-Score: 1.55 (1h timeframe)
- Correlation: 0.82
- Half-Life: 59h (~2.5 days)
- Hedge Ratio: 1.104 (4h sizing: 51.1% LTC / 48.9% LINK)
Setup Remark:
The pair is currently exhibiting a positive z-score (1.55), indicating that LINK is statistically "rich" relative to LTC. Your stated direction (Long LTC / Short LINK) aligns with the quant-optimal mean-reversion signal, which seeks to capture the spread narrowing as LINK potentially underperforms or LTC catches up.
Sentiment & Technical Context:
- LTC (Bullish): Sentiment is currently driven by short-term optimism surrounding ETF and treasury-related news, with technical support noted around the $46 level.
- LINK (Bullish): Sentiment remains fundamentally strong due to institutional adoption (DTCC tokenization) and high wallet activity, despite recent price stagnation.
- Trade Note: While both assets share bullish sentiment, the pair trade relies on the relative divergence between LTC's news-driven momentum and LINK's current consolidation. The 1h z-score is ~1.3 hours old; ensure the spread hasn't significantly diverged since the last snapshot before entry.
LTC
LINK