Z-score (1.48) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: 1.81 entry / 1.48 rolling
Half-life 1.5h · Hurst 0.88 · Hedge ratio 0.90
Pair volatility: 34.93%
Backtest: 71.43% win · Sharpe 0.42 · 0.32% return · 2.84% max drawdown
Pair Analysis: Long XAI / Short STX
- Roll Z-Score (1h): 1.48 (STX is statistically rich relative to XAI)
- Roll Z-Score (4h): 1.49
- Correlation: 0.72 (1h)
- Half-Life: 11h (4h timeframe)
- Hedge Weights (4h): 48.0% XAI / 52.0% STX
Remark:
This setup is a classic mean-reversion play driven by the elevated z-score (1.48–1.49), suggesting STX is currently overextended relative to XAI. While the statistical signal is strong, the trade faces a fundamental headwind: XAI sentiment is currently bearish due to concerns over token unlocks and low engagement, which may dampen the "Long XAI" leg's ability to recover. The trade relies heavily on the spread narrowing (STX mean-reverting lower) rather than a strong bullish move in XAI. Monitor the 11h half-life for expected convergence speed.
XAI
STX