Correlation: 0.63 · Cointegrated: yes
Z-score: 1.08 entry / 3.43 rolling
Half-life 4.9h · Hurst 0.90 · Hedge ratio 0.39
Pair volatility: 38.54%
Backtest: 72.73% win · Sharpe 0.28 · 0.15% return · 1.09% max drawdown
Pair Analysis: Long WIF / Short ALGO
- Roll Z-Score: 3.56 (1h) / 3.12 (4h) — Indicates ALGO is statistically "rich" relative to WIF.
- Correlation: 0.62
- Hedge Weights (4h): 27.2% WIF / 72.8% ALGO
Analysis:
This setup presents a significant conflict between statistical mean-reversion and current market sentiment.
- Statistical View: The high z-score (>3.0) suggests the spread is significantly extended, with ALGO trading at a premium relative to WIF. Statistically, this supports a mean-reversion trade (Long WIF / Short ALGO).
- Sentiment/Fundamental View: Sentiment is currently working against this trade. WIF is facing bearish headwinds with declining community engagement, while ALGO is seeing bullish accumulation driven by post-quantum narrative catalysts.
Note: While the statistical signal is strong, the divergence in sentiment suggests the "richness" of ALGO relative to WIF may be driven by fundamental shifts rather than temporary noise. Entering this trade requires high conviction that the statistical mean-reversion will override the current bearish/bullish sentiment split.
WIF
ALGO