Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.71 · Cointegrated: yes
Z-score: 1.29 entry / 2.26 rolling
Half-life 1.5h · Hurst 0.90 · Hedge ratio 0.49
Pair volatility: 37.66%
Backtest: 82.61% win · Sharpe 2.75 · 2.25% return · 1.36% max drawdown
Pair Analysis: ZK / FIL
- Roll Z-Score: 2.26 (1h) / 1.61 (4h) — Note: Positive Z-score indicates FIL is statistically "rich" relative to ZK.
- Correlation: 0.71 (1h/4h)
- Hedge Ratio: 0.50 (1h) / 0.52 (4h)
- Half-Life: 36h (1h) / 11h (4h)
Trade Context
- Quant Signal: The pair is currently mean-reverting, with the statistical model favoring a Long ZK / Short FIL position to capture the spread compression.
- Sentiment Conflict: While the statistical setup is strong, sentiment for ZK is currently bearish due to significant upcoming token unlocks (41.05% of market cap). This creates a "falling knife" risk where the spread may widen further despite the mean-reversion signal.
- Technical Note: The 1h Z-score is ~1.2h old; verify current price action before entry, as the bearish sentiment on ZK may be driving the current divergence.
ZK
FIL