Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.64 · Cointegrated: yes
Z-score: 1.26 entry / 1.52 rolling
Half-life 1.0h · Hurst 0.88 · Hedge ratio 0.71
Pair volatility: 39.82%
Backtest: 80.00% win · Sharpe 5.72 · 3.47% return · 0.52% max drawdown
Pair Analysis: Long ZK / Short GMT
- Roll Z-Score (1h): 1.52 (GMT is rich relative to ZK)
- Correlation: 0.64
- Half-Life: 25h (1h timeframe)
- Hedge Weights (4h): 41.3% ZK / 58.7% GMT
Setup Remark
This is a mean-reversion trade against a momentum trend.
The statistical setup (1h/4h Roll Z-Score ~1.5) suggests GMT is currently overextended relative to ZK, supporting your Long ZK / Short GMT direction. However, the fundamental sentiment is strongly misaligned with this trade: ZK is facing bearish pressure from token unlocks, while GMT is experiencing bullish momentum driven by a short squeeze and active buybacks.
Entering this trade requires conviction that the statistical mean-reversion will overpower the current fundamental trend. If the momentum in GMT continues, the "rich" spread could widen further (z-score increasing) rather than mean-reverting, leading to potential losses on the short leg.
ZK
GMT