Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.88 · Cointegrated: yes
Z-score: 1.49 entry / 1.82 rolling
Half-life 1.3h · Hurst 0.92 · Hedge ratio 0.92
Pair volatility: 16.09%
Backtest: 65.38% win · Sharpe 0.19 · 0.07% return · 1.07% max drawdown
Pair Analysis: Long XRP / Short LINK
- Roll Z-Score: 1.82 (1h) / 0.34 (4h)
- Correlation: 0.88
- Half-Life: 31h (1h timeframe)
- Hedge Ratio: 0.921 (4h sizing recommended)
Analysis:
- Statistical Alignment: The 1h roll z-score of 1.82 indicates that LINK is currently "rich" relative to XRP. Your chosen direction (Long XRP / Short LINK) is the quant-optimal mean-reversion play, betting on the spread narrowing as LINK reverts to its historical relationship with XRP.
- Sentiment: The setup is supported by divergent sentiment: XRP is seeing bullish momentum driven by structural catalysts (MiCA licensing), while LINK is facing bearish sentiment characterized by low engagement and stagnation.
- Conviction: The 1h signal is strong (z-score > 1.5), though the 4h z-score (0.34) is more moderate, suggesting the mean-reversion opportunity is most pronounced on shorter timeframes. The high correlation (0.88) supports the pair's stability as a spread trade.
Note: The 1h z-score snapshot is ~1.2 hours old. Verify recent price action to ensure the spread hasn't already corrected significantly.
XRP
LINK