Correlation: 0.68 · Cointegrated: yes
Z-score: 1.17 entry / 3.55 rolling
Half-life 1.6h · Hurst 0.92 · Hedge ratio 0.52
Pair volatility: 40.88%
Backtest: 64.29% win · Sharpe 2.38 · 2.01% return · 1.00% max drawdown
Pair Analysis: Long USUAL / Short STRK
This setup aligns both statistical mean-reversion signals and fundamental sentiment, presenting a high-conviction trade.
Statistical Diagnostics
- Roll Z-Score: 3.47 (1h) / 2.83 (4h). The positive z-score indicates that STRK is currently "rich" relative to USUAL.
- Directional Alignment: The user's stated direction (Long USUAL / Short STRK) is quant-optimal, aligning with the mean-reversion signal (selling the rich asset, buying the cheap one).
- Hedge Weights (4h): 33.4% USUAL / 66.6% STRK.
- Correlation: 0.65 (4h).
- Half-Life: 10h (4h timeframe), suggesting a relatively fast mean-reversion cycle.
Sentiment & Fundamental Context
- USUAL (Bullish): Sentiment is supported by strong fundraising momentum ($18.5M raised), driving positive community engagement.
- STRK (Bearish): Sentiment is pressured by significant upcoming token unlocks (18.06% of market cap) and a lack of buyback/burn mechanisms, creating a structural supply headwind.
Summary
The trade is statistically supported by a high z-score (STRK rich vs. USUAL) and fundamentally supported by divergent sentiment (USUAL bullish vs. STRK bearish supply pressure). The 10h half-life suggests the spread may close relatively quickly.
USUAL
STRK