Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.62 · Cointegrated: yes
Z-score: 1.46 entry / 2.76 rolling
Half-life 5.8h · Hurst 0.91 · Hedge ratio 0.34
Pair volatility: 36.88%
Backtest: 28.57% win · Sharpe -2.24 · -1.61% return · 2.60% max drawdown
Pair Analysis: Long FIL / Short BCH
- Roll Z-Score (1h): 2.76 (BCH is statistically rich relative to FIL)
- Roll Z-Score (4h): 0.57
- Roll Z-Score (1d): 1.81
- Correlation: 0.62 (1h)
- Half-Life: 138h (1h timeframe)
Trade Remark:
This setup is a classic mean-reversion play, betting that the recent divergence (where BCH has become rich relative to FIL) will correct. However, sentiment is currently working against this trade: FIL is facing bearish community sentiment, while BCH is seeing bullish momentum. Entering a Long FIL / Short BCH position here means betting against the prevailing market trend. While the 1h z-score (2.76) suggests a strong statistical deviation, the fundamental sentiment divergence makes this a high-risk, counter-trend setup.
- Venue: Both assets are available on Hyperliquid (Core).
- Note: The 1h z-score is ~1.3 hours old; verify recent price action to ensure the deviation hasn't already begun to close.
FIL
BCH