Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.74 · Cointegrated: yes
Z-score: 1.76 entry / 2.21 rolling
Half-life 5.8h · Hurst 0.94 · Hedge ratio 0.42
Pair volatility: 26.51%
Backtest: 75.00% win · Sharpe 0.27 · 0.17% return · 3.02% max drawdown
Pair Analysis: Long NEO / Short ADA
- Roll Z-Score: 2.21 (1h), 3.48 (4h)
- Correlation: 0.74 (1h)
- Hedge Ratio: 0.415 (1h), 0.495 (4h)
- Sentiment:
- NEO: Bullish (Infrastructure build-out, enterprise AI security fund).
- ADA: Bearish (Rejection at 50-day EMA, negative funding rates).
- Analysis:
- Mean Reversion: The positive Z-score (2.21 on 1h, 3.48 on 4h) indicates that ADA is currently rich relative to NEO. The trade direction (Long NEO / Short ADA) aligns with the statistical mean-reversion signal.
- Sentiment Alignment: The trade is supported by divergent sentiment, with bullish momentum for NEO and bearish pressure on ADA.
- Note: The 4h Z-score (3.48) suggests a strong statistical deviation; ensure sizing accounts for the 5.3h age of the 4h snapshot.
NEO
ADA