Correlation: 0.61 · Cointegrated: yes
Z-score: 1.16 entry / 3.58 rolling
Half-life 0.8h · Hurst 0.85 · Hedge ratio 0.68
Pair volatility: 41.25%
Backtest: 84.00% win · Sharpe 5.32 · 3.92% return · 0.95% max drawdown
Pair Analysis: Long ZK / Short GMT
- Roll Z-Score (1h): 4.90 (GMT is rich vs ZK)
- Roll Z-Score (4h): 1.68 (GMT is rich vs ZK)
- Roll Z-Score (1d): -0.90 (ZK is rich vs GMT)
- Correlation: 0.61 (1h/4h)
- Hedge Ratio (4h): 0.599 (Sizing: ~37.5% ZK / ~62.5% GMT)
Analysis:
- Setup: This is a relative-value mean reversion trade. The 1h and 4h z-scores are strongly positive, indicating that GMT has significantly outperformed ZK recently and is statistically "rich" relative to the pair's historical spread. You are betting on this divergence closing (GMT mean-reverting down or ZK mean-reverting up).
- Sentiment: Both assets are currently facing bearish headwinds. ZK is pressured by structural supply unlocks, while GMT is struggling with a lack of narrative and recent unlock pressure.
- Risk Note: The 1d z-score is negative (-0.90), suggesting that on a longer timeframe, the pair is actually inverted. This trade is a short-term tactical play (1h/4h) betting against the immediate overextension of GMT. Given the high 1h z-score (4.90), ensure your entry accounts for potential volatility, as this level indicates a significant short-term deviation.
ZK
GMT