Correlation: 0.79 · Cointegrated: yes
Z-score: -0.52 entry / -2.08 rolling
Half-life 0.8h · Hurst 0.89 · Hedge ratio 1.51
Pair volatility: 28.78%
Backtest: 71.43% win · Sharpe 2.94 · 1.67% return · 0.74% max drawdown
Pair Analysis: Long PNUT / Short TURBO
This setup is currently a live, high-conviction mean-reversion signal on the 1h timeframe. The pair is trading at a significant discount relative to its historical spread, suggesting a potential "cheap" entry for a long PNUT / short TURBO position.
Statistical Diagnostics (1h Snapshot):
- Roll Z-Score: -4.23 (Strongly oversold; indicates the spread is significantly below its mean).
- Correlation: 0.79 (High; suggests the assets move in tandem, making the spread stable).
- Cointegration: True (Supports mean-reversion validity).
- Half-Life: 20h (~0.8d; indicates the time required for the spread to revert halfway to the mean).
- Hedge Ratio: 1.526 (For every $1 of PNUT long, short ~$1.53 of TURBO).
Sentiment & Context:
- Sentiment: Both assets are currently facing bearish headwinds. PNUT is struggling with liquidity and technical resistance, while TURBO is seeing fading speculative interest.
- Trade Logic: This is a relative value play. You are betting that PNUT will outperform TURBO (or decline less) as the spread mean-reverts. Because both assets are in a bearish regime, this trade is effectively a "long the less-weak asset / short the weaker asset" strategy.
- Note: The 1h z-score is ~1.2h old. Given the high volatility of memecoins, verify current price action before execution, as rapid intraday moves can quickly alter the spread's "rich/cheap" status.
Sizing Recommendation (4h Weights):
- Hedge Weights: 38.8% PNUT / 61.2% TURBO (based on 4h data).
- Execution: The trade is currently aligned with the quant-optimal direction (Long PNUT / Short TURBO).
PNUT
TURBO