Pair is strongly diverging away from the mean. High risk of further deviation.
short spread · 18× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 2.96 |
| Z-score | 2.96 at entry · 1.25 pair |
| Correlation | 0.69 · cointegrated |
| Half-life | 4.4h |
| Hurst | 0.90 |
| Hedge ratio | 0.73 · long-term beta 0.60 |
| Beta stability | stable · current 0.73 · range -0.03–0.95 · 2 sign changes |
| Lead–lag peak corr | 0.69 |
| Pair volatility | 27.45% |
| Momentum | z-velocity +2.17 · acceleration +1.06 · vol ratio 0.55 |
Backtest
| Metric | Value |
|---|
| Win rate | 75.00% — 12W / 4L over 16 trades |
| Sharpe | 2.23 |
| Total return | +0.85% |
| Max drawdown | 0.89% |
PENGU
DOGE