Correlation: 0.75 · Cointegrated: yes
Z-score: 1.17 entry / 1.69 rolling
Half-life 1.3h · Hurst 0.88 · Hedge ratio 0.76
Pair volatility: 33.57%
Backtest: 77.27% win · Sharpe 2.67 · 1.44% return · 0.94% max drawdown
Pair Analysis: Long RENDER / Short ICP
This setup is currently supported by both statistical mean-reversion signals and a fundamental sentiment divergence.
- Roll Z-Score (1h): 1.92
- Roll Z-Score (4h): 0.87
- Correlation: 0.75 (1h)
- Cointegration: True (1h, 4h)
- Hedge Ratio (4h): 0.798 (Sizing: ~44% RENDER / ~56% ICP)
Analysis:
- Statistical Signal: The 1h Roll Z-Score of 1.92 indicates that ICP is currently "rich" relative to RENDER on a mean-reversion basis. The trade (Long RENDER / Short ICP) is aligned with the quant-optimal direction, betting on the spread narrowing as ICP reverts toward its historical relationship with RENDER.
- Sentiment Divergence:
- RENDER (Bullish): Benefiting from strong AI-sector tailwinds and structural catalysts, specifically the RNP-023 governance passing, which is expected to onboard significant GPU capacity and support a deflationary burn model.
- ICP (Bearish): Facing persistent selling pressure and underperforming the broader market, with fundamental developments struggling to translate into price action.
- Note: The 1h z-score is ~1.2 hours old. Given the high correlation (0.75), ensure you check live price action to confirm the spread has not already corrected significantly since the last snapshot.
RENDER
ICP