Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.77 · Cointegrated: yes
Z-score: 1.97 entry / 1.67 rolling
Half-life 1.8h · Hurst 0.92 · Hedge ratio 0.62
Pair volatility: 25.60%
Backtest: 76.00% win · Sharpe 2.28 · 1.38% return · 1.46% max drawdown
Pair Analysis: Long NEO / Short CFX
This setup is currently supported by both quantitative mean-reversion signals and divergent asset sentiment.
Quantitative Diagnostics
- Roll Z-Score: 1.67 (1h) / 3.27 (4h). The positive Z-score indicates that the spread is currently extended, with CFX trading rich relative to NEO.
- Directional Alignment: The user-specified direction (Long NEO / Short CFX) is quant-optimal and aligns with the current mean-reversion signal.
- Correlation: 0.77 (1h/4h), indicating a stable relationship suitable for pair trading.
- Half-Life: 44h (1h) / 14h (4h). The 4h half-life suggests a relatively quick mean-reversion cycle.
Sentiment & Context
- NEO (Bullish): Sentiment is supported by infrastructure developments, specifically the Gorgon hard fork and new institutional custody integrations.
- CFX (Bearish): Sentiment is negative, driven by a broader downtrend, declining volume, and the post-halving speculative cooldown.
- Active Signal: There is a live active signal for this pair (Long NEO / Short CFX) generated at a 1h Roll Z-Score of 1.67.
Summary
The trade is well-aligned. You are effectively fading the relative strength of CFX against NEO, supported by a positive Z-score and fundamental divergence. Ensure you monitor the 4h Z-score (3.27), as it suggests a more significant deviation than the 1h snapshot.
NEO
CFX