Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.68 · Cointegrated: yes
Z-score: 1.49 entry / 2.77 rolling
Half-life 1.4h · Hurst 0.92 · Hedge ratio 0.39
Pair volatility: 29.39%
Backtest: 88.89% win · Sharpe 5.27 · 2.92% return · 0.71% max drawdown
Pair Analysis: Long ENS / Short CFX
- Roll Z-Score: 2.77 (1h) | 0.88 (4h) | 0.63 (1d)
- Note: The 1h z-score indicates CFX is currently rich relative to ENS, supporting the mean-reversion trade (Long ENS / Short CFX).
- Correlation: 0.68 (1h) | 0.67 (4h) | 0.81 (1d)
- Half-Life: 34h (1h) | 9h (4h) | 10h (1d)
- Hedge Weights (4h): 31.0% ENS / 69.0% CFX
- Cointegration: True
Sentiment & Context
- ENS: Bearish sentiment due to governance renewal blockage and community friction.
- CFX: Bearish sentiment driven by declining volume and failure to hold support levels.
- Trade Thesis: This is a relative-value play. While both assets face bearish headwinds, the statistical spread (z-score) suggests CFX has outperformed ENS recently to an extent that is mean-reverting. You are betting that CFX will weaken more than ENS (or ENS will hold up better than CFX) as the spread normalizes.
Technical Notes
- Signal Strength: The 1h z-score (2.77) is significantly elevated, suggesting a strong short-term mean-reversion opportunity. However, the 4h and 1d z-scores are more moderate, indicating the divergence is less pronounced over longer timeframes.
- Execution: Both assets are available on Hyperliquid (Core/USDC).
- Sizing: Use 4h weights (31.0% ENS / 69.0% CFX) for position sizing.
ENS
CFX