Correlation: 0.61 · Cointegrated: yes
Z-score: 1.98 entry / 0.75 rolling
Half-life 5.8h · Hurst 0.92 · Hedge ratio 0.26
Pair volatility: 47.28%
Backtest: 55.56% win · Sharpe 0.04 · -0.03% return · 2.63% max drawdown
Pair Analysis: Long XRP / Short PYTH
- Roll Z-Score: 1.22 (1h) | 1.60 (4h) | 2.40 (1d)
- Interpretation: Positive z-scores indicate PYTH is currently rich (overvalued) relative to XRP. The trade direction (Long XRP / Short PYTH) is aligned with the quant-optimal mean-reversion signal.
- Correlation: 0.61 (1h) | 0.55 (4h) | 0.73 (1d)
- Half-Life: 138h (1h) | 44h (4h) | 17h (1d)
- Hedge Weights (4h): 50.2% XRP / 49.8% PYTH
Sentiment & Context
- XRP (Bullish): Strong tailwinds from whale accumulation (multi-year highs) and positive regulatory sentiment surrounding the CLARITY Act.
- PYTH (Bearish): Significant supply pressure concerns due to a large upcoming token unlock (26.98% of market cap), creating a fundamental headwind for the asset.
Trade Setup Remark
This pair presents a high-conviction mean-reversion setup. The statistical signal (positive z-score) is supported by a clear fundamental divergence: XRP is benefiting from regulatory catalysts and accumulation, while PYTH faces substantial supply-side headwinds. The 1d z-score of 2.40 suggests the spread is significantly extended, making the Long XRP / Short PYTH trade a compelling play on the relative value gap closing.
XRP
PYTH