Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.80 · Cointegrated: yes
Z-score: 1.93 entry / 2.79 rolling
Half-life 2.2h · Hurst 0.91 · Hedge ratio 1.32
Pair volatility: 21.42%
Backtest: 52.00% win · Sharpe -0.55 · -0.27% return · 1.09% max drawdown
Pair Analysis: Long LTC / Short LINK
- Roll Z-Score: 2.79 (1h) | 1.32 (4h) | 0.64 (1d)
- Note: The 1h z-score of 2.79 indicates LINK is currently statistically "rich" relative to LTC. This setup aligns with the mean-reversion strategy of going Long the "cheap" asset (LTC) and Short the "rich" asset (LINK).
- Correlation: 0.80 (1h)
- Cointegration: Yes
- Half-Life: 52h (1h timeframe)
- Hurst Exponent: 0.91 (1h) — indicates strong mean-reverting behavior.
Sentiment & Context
- LTC (Bullish): Sentiment is supported by optimism surrounding ETF and treasury news, with technical support noted around $46.
- LINK (Bullish): Sentiment remains strong due to structural institutional adoption (DTCC/tokenized securities), which may be driving its recent outperformance relative to LTC.
- Remark: While both assets share a bullish sentiment, the high 1h z-score suggests LINK has decoupled and outperformed LTC significantly in the short term. This trade is a relative-value play betting that LINK's recent premium will compress back toward the historical mean relative to LTC, rather than a directional bet on either asset's absolute price. Given the 52h half-life, this is a medium-term mean-reversion setup.
LTC
LINK