Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.81 · Cointegrated: yes
Z-score: -1.30 entry / -3.82 rolling
Half-life 2.6h · Hurst 0.89 · Hedge ratio 1.02
Pair volatility: 26.98%
Backtest: 60.00% win · Sharpe -0.85 · -0.46% return · 1.66% max drawdown
Pair Analysis: Long NEO / Short ZEN
- Roll Z-Score (1h): -3.82 (Strongly negative; NEO is statistically cheap relative to ZEN on a short-term basis)
- Roll Z-Score (4h): -0.10 (Neutral)
- Correlation: 0.81 (1h)
- Hedge Weights (4h): 52.1% NEO / 47.9% ZEN
Setup Remark:
This pair presents a high-conviction mean-reversion setup. The extreme 1h z-score (-3.82) indicates a significant short-term divergence where NEO has decoupled to the downside against ZEN. This is supported by a fundamental divergence in sentiment: NEO is benefiting from bullish catalysts (Gorgon hard fork, BitGo custody integration), while ZEN is struggling with bearish technicals and a lack of internal drivers. The 4h and 1d z-scores are near neutral, suggesting that while the 1h divergence is sharp, the pair is well-behaved over longer timeframes, reinforcing the mean-reversion thesis.
Note: The 1h z-score is ~1.2h old; verify recent price action to ensure the divergence hasn't already corrected.
NEO
ZEN