Z-score (1.44) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.76 · Cointegrated: yes
Z-score: 1.55 entry / 1.44 rolling
Half-life 5.8h · Hurst 0.92 · Hedge ratio 0.25
Pair volatility: 33.86%
Backtest: 71.43% win · Sharpe 0.39 · 0.10% return · 0.82% max drawdown
Pair Analysis: PENGU / BTC
- Roll Z-Score: 1.44 (1h) / 1.63 (4h) — The spread (BTC/PENGU) is statistically elevated, suggesting the pair is currently "rich" and potentially mean-reverting.
- Correlation: 0.76 (1h) / 0.73 (4h)
- Half-Life: 138h (1h) / 40h (4h) — Mean reversion is slow; the 4h timeframe suggests a more active decay profile.
- Hedge Ratio (4h): 0.306 (Sizing: ~23.5% PENGU / ~76.5% BTC)
Sentiment & Technical Context
- PENGU (Bearish): Facing significant headwinds from token unlocks and aggressive futures selling. The 14% recent slide reflects this supply pressure, which may counteract the statistical mean-reversion signal.
- BTC (Mixed): Upside is capped by hawkish macro policy and ETF outflows, though it maintains a structural floor.
- Trade Note: While the positive Z-score supports a mean-reversion trade (Long PENGU / Short BTC), the bearish sentiment on PENGU creates a fundamental divergence. The statistical "richness" of the spread may be driven by the fundamental selling pressure on PENGU rather than a temporary dislocation, increasing the risk of the spread widening further despite the Z-score.
PENGU
BTC