Correlation: 0.64 · Cointegrated: yes
Z-score: -2.33 entry / -1.02 rolling
Half-life 0.5h · Hurst 0.87 · Hedge ratio 1.11
Pair volatility: 40.02%
Backtest: 44.44% win · Sharpe -1.11 · -0.46% return · 1.42% max drawdown
Pair Analysis: Long para:CRDO / Short xyz:CRWV
This pair is currently showing a significant statistical divergence, with the spread trading at a discount relative to its recent mean.
Statistical Diagnostics
- Roll Z-Score: -3.05 (1h) / -1.93 (4h)
- Interpretation: The negative z-score indicates that
CRDO is currently "cheap" relative to CRWV compared to the recent historical mean. The 1h z-score of -3.05 suggests a strong mean-reversion setup.
- Correlation: 0.65 (1h) / 0.50 (4h)
- Interpretation: Moderate correlation; the pair has some tendency to move together, but the divergence is notable.
- Half-Life: ~14h (1h) / ~17h (4h)
- Interpretation: The mean-reversion process is relatively slow, suggesting this is a swing trade rather than a quick scalp.
- Hurst Exponent: 0.87 (1h) / 0.88 (4h)
- Interpretation: High Hurst values (>0.5) indicate a trending regime rather than pure mean reversion, which warrants caution. The divergence may be driven by a persistent trend rather than temporary noise.
Execution Notes
- Cross-Deployer: This pair involves assets on different deployers (
para and xyz). Ensure you have sufficient USDC collateral on both deployers to cover the respective legs, as these pools are not cross-margined by default.
- Sentiment: No specific sentiment data is available for these assets. Monitor for any asset-specific news that might be driving the divergence, as the high Hurst exponent suggests the current spread move may be trend-driven.
- Sizing: Based on 4h weights, the recommended hedge ratio is approximately 43.6%
CRDO / 56.4% CRWV.
CRDO
CRWV