Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.65 · Cointegrated: yes
Z-score: -1.29 entry / -2.61 rolling
Half-life 1.1h · Hurst 0.90 · Hedge ratio 0.80
Pair volatility: 31.18%
Backtest: 88.46% win · Sharpe 5.02 · 2.82% return · 0.72% max drawdown
Pair Analysis: Long CFX / Short ENS
- Roll Z-Score: -2.61 (1h)
- Correlation: 0.65
- Cointegration: True (1h, 1d)
- Half-Life: 26h (1h timeframe)
- Hedge Weights (4h): 61.0% CFX / 39.0% ENS
Analysis & Sentiment Note:
- Statistical Setup: The pair is currently showing a strong negative z-score (-2.61), indicating that the spread is statistically "cheap" (CFX is undervalued relative to ENS). This aligns with a mean-reversion strategy favoring a Long CFX / Short ENS position.
- Sentiment Divergence: There is a clear conflict between the statistical signal and current market sentiment. CFX sentiment is currently bearish, while ENS is benefiting from bullish fundamental support (structural upgrades and real-world adoption).
- Risk: This trade is a pure mean-reversion play that is currently "fighting the tape." While the statistical edge is significant, the fundamental divergence suggests that the spread may remain depressed or widen further if the sentiment gap persists. Monitor the 1h z-score closely for signs of mean reversion; if the z-score continues to drift lower without a price reaction, the statistical edge may be degrading.
CFX
ENS