Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.78 · Cointegrated: yes
Z-score: 1.75 entry / 4.29 rolling
Half-life 1.3h · Hurst 0.87 · Hedge ratio 0.85
Pair volatility: 29.04%
Backtest: 80.77% win · Sharpe 2.69 · 1.72% return · 1.19% max drawdown
Pair Analysis: TURBO / MOODENG
- Roll Z-Score (1h): 4.29 (MOODENG is statistically "rich" vs TURBO in the short term)
- Roll Z-Score (4h): -0.52 (Neutral)
- Roll Z-Score (1d): 0.51 (Neutral)
- Correlation: 0.78 (1h)
- Hedge Ratio (4h): 0.746 (Sizing weight: 57.3% MOODENG / 42.7% TURBO)
Remark:
This setup is a short-term mean reversion play. The 1h Roll Z-Score of 4.29 indicates that MOODENG has significantly outperformed TURBO recently, creating a stretched spread. However, the 4h and 1d z-scores are near neutral, suggesting this is a localized divergence rather than a long-term trend breakdown. Sentiment for both assets is currently neutral, with no major catalysts driving the spread. The trade relies on the 1h spread compressing back toward the mean.
TURBO
MOODENG