Correlation: 0.78 · Cointegrated: yes
Z-score: -1.93 entry / -0.84 rolling
Half-life 1.7h · Hurst 0.88 · Hedge ratio 1.99
Pair volatility: 27.51%
Backtest: 58.33% win · Sharpe 0.63 · 0.38% return · 1.01% max drawdown
Pair Analysis: Long BIGTIME / Short SUPER
Statistical Diagnostics
- Roll Z-Score: -1.40 (1h) | -0.29 (4h) | -2.11 (1d)
- Interpretation: The negative z-scores across all timeframes indicate that BIGTIME is currently statistically "cheap" relative to SUPER. The 1d z-score of -2.11 suggests a significant deviation from the historical mean.
- Correlation: 0.78 (1h) | 0.76 (4h) | 0.67 (1d)
- Cointegration: True (1h, 4h)
- Hedge Ratio (4h): 2.048 (Short 2.05 units of SUPER for every 1 unit of BIGTIME)
Sentiment & Narrative Context
- BIGTIME (Bearish): Sentiment is weighed down by structural supply concerns, specifically heavy token unlocks and liquidity narratives.
- SUPER (Bullish): Sentiment is currently strong, driven by whale accumulation and anticipation surrounding the Superseed migration to Ethereum mainnet.
Trade Remark
This setup presents a classic statistical mean-reversion vs. fundamental sentiment conflict.
- The Statistical Case: The negative z-scores suggest the spread is stretched, favoring a Long BIGTIME / Short SUPER position to capture a reversion to the mean.
- The Sentiment Risk: You are effectively betting against the current momentum. The bearish fundamental outlook for BIGTIME (unlocks) and the bullish momentum for SUPER (migration hype) may keep the spread "stretched" longer than the statistical model expects.
If entering, monitor the 1h/4h z-scores closely; if the z-score continues to drift deeper into negative territory (e.g., below -2.5 on 4h), the statistical mean-reversion thesis may be failing against the fundamental divergence.
BIGTIME
SUPER