Correlation: 0.70 · Cointegrated: yes
Z-score: -1.04 entry / -5.75 rolling
Half-life 4.1h · Hurst 0.89 · Hedge ratio 1.78
Pair volatility: 26.99%
Backtest: 70.59% win · Sharpe 1.72 · 1.21% return · 1.36% max drawdown
Pair Analysis: Long SAND / Short UMA
This setup is a relative value play capitalizing on the current spread divergence.
- Roll Z-Score (1h): -5.52
- Roll Z-Score (4h): -5.13
- Correlation: 0.70
- Hedge Ratio (4h): 1.16 (Short 1.16 UMA for every 1 SAND)
Analysis:
- Mean Reversion: The 1h and 4h Z-scores are deeply negative (-5.52 and -5.13), indicating that SAND is significantly "cheap" relative to UMA compared to its recent historical mean. The trade is well-aligned with the quant-optimal direction (Long SAND / Short UMA).
- Sentiment: Both assets currently face bearish sentiment. SAND is suffering from sector-wide rotation out of metaverse tokens, while UMA faces structural headwinds related to oracle integrity and governance concerns.
- Note: Because both assets are bearish, this is a pure relative-value trade. You are betting that UMA will underperform SAND (or that SAND will recover faster/drop less) as the spread mean-reverts. The 1d Z-score (0.28) is near neutral, suggesting the extreme divergence is a shorter-term phenomenon; monitor the 1h/4h Z-scores closely for signs of the spread tightening.
SAND
UMA