Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.84 · Cointegrated: yes
Z-score: 1.28 entry / 1.71 rolling
Half-life 2.0h · Hurst 0.90 · Hedge ratio 0.77
Pair volatility: 20.04%
Backtest: 48.00% win · Sharpe -1.51 · -0.75% return · 1.21% max drawdown
Pair Analysis: Long LTC / Short LINK
- Roll Z-Score (1h): 1.71 (LINK is statistically rich relative to LTC)
- Roll Z-Score (4h): 1.92
- Correlation: 0.81 (4h)
- Hedge Weights (4h): 53.2% LTC / 46.8% LINK
- Status: The pair is currently statistically rich (positive Z-score), which aligns with your directional intent (Long LTC / Short LINK).
Sentiment & Risk Note
- Divergent Sentiment: While the statistical setup supports a mean-reversion trade (selling the rich asset, buying the cheap one), sentiment is currently misaligned. LTC is facing bearish pressure from heavy long positioning, while LINK shows bullish conviction driven by institutional accumulation and fundamental adoption.
- Trade Context: This trade is a statistical play against the current relative valuation. The primary risk is that the sentiment divergence (LINK's strength vs. LTC's weakness) continues to drive the spread wider, overriding the mean-reversion signal. Monitor the 4h Z-score closely; if it continues to climb, the statistical edge is degrading.
LTC
LINK