Correlation: 0.76 · Cointegrated: yes
Z-score: -0.91 entry / -1.64 rolling
Half-life 1.7h · Hurst 0.92 · Hedge ratio 0.71
Pair volatility: 31.32%
Backtest: 70.83% win · Sharpe 1.74 · 1.23% return · 1.53% max drawdown
Pair Analysis: PENGU / ZEN
Statistical Snapshot
- 1h Roll Z-Score: -2.03 (PENGU is statistically cheap relative to ZEN)
- 4h Roll Z-Score: -1.48
- 1d Roll Z-Score: 0.76 (Note: 1.6d old; shorter TFs show stronger mean-reversion signal)
- Correlation: 0.76 (1h)
- Hedge Ratio (4h): 0.773 (Sizing: 56.4% PENGU / 43.6% ZEN)
Sentiment & Context
- PENGU: Bearish sentiment driven by aggressive futures selling and recent token unlocks.
- ZEN: Bullish sentiment supported by institutional backing and recent staking catalysts.
Remark
This setup presents a high-conviction mean-reversion signal fighting a strong trend divergence. The 1h and 4h z-scores (-2.03 and -1.48) strongly suggest PENGU is oversold relative to ZEN, favoring a "Long PENGU / Short ZEN" entry. However, the sentiment analysis indicates a fundamental trend mismatch: you are effectively betting against the bearish momentum in PENGU and the bullish momentum in ZEN.
If you execute this, you are trading against the current sentiment flow; ensure your stop-loss is tight, as the statistical "cheapness" of PENGU may persist if the selling pressure from token unlocks continues to outweigh the mean-reversion force.
PENGU
ZEN