Z-score (1.41) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.70 · Cointegrated: yes
Z-score: 1.95 entry / 1.41 rolling
Half-life 1.0h · Hurst 0.86 · Hedge ratio 0.65
Pair volatility: 33.83%
Backtest: 70.83% win · Sharpe 1.22 · 0.93% return · 1.46% max drawdown
Pair Analysis: ZK / LDO
- Roll Z-Score: 1.41 (1h) / 2.96 (4h)
- Interpretation: The pair is statistically extended. A positive z-score indicates LDO is currently "rich" relative to ZK.
- Correlation: 0.70 (1h)
- Half-Life: ~25h (1h) / ~7h (4h)
- Hedge Weights (4h): 43.4% ZK / 56.6% LDO
Sentiment & Technical Context
- Statistical Setup: The pair is mean-reverting, with LDO trading at a premium to ZK. The 4h z-score (2.96) suggests a significant deviation from the historical mean, which typically favors a "Long ZK / Short LDO" position.
- Fundamental Divergence: There is a notable conflict between the statistical signal and fundamental sentiment. While the stats favor buying ZK (as the "cheap" leg), ZK sentiment is currently bearish due to significant upcoming token unlocks (41.05% of market cap).
- Risk Note: The statistical mean-reversion signal is strong, but the fundamental supply-side pressure on ZK may act as a persistent headwind, potentially delaying or invalidating the expected convergence. Proceed with caution; the "cheap" asset (ZK) faces a structural supply event that could keep it suppressed despite the statistical deviation.
ZK
LDO