Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.83 · Cointegrated: yes
Z-score: 1.29 entry / 2.21 rolling
Half-life 2.3h · Hurst 0.91 · Hedge ratio 0.64
Pair volatility: 21.47%
Backtest: 42.31% win · Sharpe -3.09 · -1.58% return · 1.61% max drawdown
Pair Analysis: Long LTC / Short LINK
This setup is currently a high-conviction active signal (Rank #2 in 1h signals).
- Roll Z-Score: 2.21 (1h) — indicates LINK is statistically rich relative to LTC.
- Correlation: 0.83 (1h) — strong historical relationship, supporting mean-reversion potential.
- Cointegration: True (1h) — suggests the spread is mean-reverting.
- Half-Life: 56h (~2.3 days) — indicates a moderate-term reversion window.
- Hedge Weights (4h): 55.9% LTC / 44.1% LINK (use 4h for sizing).
Sentiment & Technical Context:
- LTC (Bullish): Sentiment is driven by institutional custody integration and exchange outflows, suggesting accumulation.
- LINK (Bullish): Sentiment remains strong due to structural adoption (DTCC), though near-term price action has been stagnant with some over-leveraged long liquidations.
- Note: While both assets have bullish sentiment, the pair trade exploits the relative valuation divergence (LINK's recent richness vs. LTC). The 1h roll z-score of 2.21 confirms this is a statistically significant deviation, and the trade is aligned with the quant-optimal direction.
Data snapshot: 1h z-score is ~1.3h old; verify current price action before entry.
LTC
LINK