Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.60 · Cointegrated: yes
Z-score: -1.62 entry / -2.08 rolling
Half-life 3.5h · Hurst 0.93 · Hedge ratio 2.09
Pair volatility: 35.51%
Backtest: 70.00% win · Sharpe 0.97 · 0.77% return · 1.16% max drawdown
Pair Analysis: REZ / XRP
- Roll Z-Score (1h): -2.08
- Roll Z-Score (4h): -2.25
- Roll Z-Score (1d): -1.01
- Correlation: 0.60
- Half-Life (4h): ~29h (~1.2d)
- Hedge Weights (4h): 63.9% REZ / 36.1% XRP
Analysis & Sentiment
- Statistical Setup: The pair is currently exhibiting a strong mean-reversion signal. With a 4h Roll Z-Score of -2.25, REZ is statistically "cheap" relative to XRP. The negative z-score supports a Long REZ / Short XRP position, betting on the spread narrowing as REZ recovers or XRP mean-reverts lower.
- Sentiment Conflict: There is a significant divergence between the statistical setup and current market sentiment.
- REZ (Bearish): Sentiment is weighed down by concerns over upcoming token unlocks and low social engagement.
- XRP (Bullish): Sentiment is strong, driven by whale accumulation and positive regulatory developments.
- Remark: This trade is a high-conviction statistical play (mean reversion) running directly into a fundamental headwind. The statistical edge is strong (z-score < -2), but the fundamental divergence (Longing a bearish asset vs. Shorting a bullish one) increases the risk of the spread widening further before it reverts. Proceed with caution; the statistical "cheapness" of REZ may be a value trap if the fundamental bearish catalysts (unlocks) dominate price action.
REZ
XRP