Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.82 · Cointegrated: yes
Z-score: -1.62 entry / -1.89 rolling
Half-life 5.8h · Hurst 0.90 · Hedge ratio 0.44
Pair volatility: 28.37%
Backtest: 78.57% win · Sharpe 4.22 · 1.93% return · 0.62% max drawdown
Pair Analysis: Long APT / Short ETH
- Roll Z-Score: -1.89 (1h) / -2.53 (4h)
- Interpretation: APT is currently statistically "cheap" relative to ETH. The negative z-score indicates the spread is trading below its historical mean, supporting a mean-reversion long on APT and short on ETH.
- Correlation: 0.82 (1h) / 0.78 (4h)
- Interpretation: Strong correlation, suggesting the pair moves in tandem, which is ideal for pair trading.
- Half-Life: 138h (1h) / 62h (4h)
- Interpretation: The mean-reversion process is relatively slow (multi-day), suggesting this is a swing trade rather than a quick scalp.
- Sentiment:
- APT: Bullish. Recent structural upgrades (AIP-146) and accumulation patterns are providing fundamental support.
- ETH: Bearish. Sentiment is currently softer, potentially creating a divergence that favors the APT long.
Remark:
This setup is technically and sentimentally aligned. The negative z-score confirms APT is undervalued relative to ETH, and the bullish sentiment on APT vs. the bearish outlook on ETH provides a strong fundamental tailwind for this mean-reversion trade. Given the 62h–138h half-life, expect this to be a multi-day hold as the spread closes.
APT
ETH