Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.63 · Cointegrated: yes
Z-score: 1.24 entry / 2.92 rolling
Half-life 5.5h · Hurst 0.91 · Hedge ratio 0.23
Pair volatility: 41.85%
Backtest: 61.54% win · Sharpe -0.83 · -0.82% return · 3.74% max drawdown
Pair Analysis: Long ZK / Short CRV
- Roll Z-Score (1h): 2.92 (CRV is statistically rich vs ZK)
- Roll Z-Score (4h): 3.36
- Correlation: 0.63 (1h)
- Hedge Weights (4h): 45.2% ZK / 54.8% CRV
Analysis & Sentiment:
- Statistical Setup: The pair shows significant statistical richness for CRV relative to ZK on shorter timeframes (1h/4h z-scores > 2.9). This aligns with your directional intent (Long ZK / Short CRV), which effectively bets on mean reversion by selling the "rich" leg (CRV) and buying the "cheap" leg (ZK).
- Sentiment Conflict: While the stats favor this trade, the fundamental outlook for ZK is currently bearish due to recurring monthly supply unlocks (1.78% of market cap) and thin liquidity, which may create persistent sell pressure. CRV sentiment remains neutral.
- Risk Note: The trade is statistically well-positioned for a mean-reversion play, but the fundamental headwind on ZK (the long leg) introduces "trend risk"—if ZK continues to underperform due to supply unlocks, the mean reversion may be delayed or invalidated. Monitor the 4h z-score closely; if it continues to expand, the statistical edge is strengthening, but the fundamental risk remains.
ZK
CRV