Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -1.30 entry / -2.18 rolling
Half-life 4.5h · Hurst 0.90 · Hedge ratio 1.52
Pair volatility: 43.69%
Backtest: 61.54% win · Sharpe -1.10 · -1.13% return · 2.45% max drawdown
Pair Analysis: Long BRETT / Short BTC
- Roll Z-Score: -2.18 (1h) / -2.15 (4h)
- Interpretation: The pair is currently statistically "cheap" (BRETT is undervalued relative to BTC). The negative Z-score indicates the spread has deviated significantly below its historical mean.
- Correlation: 0.72 (1h)
- Cointegration: True (1h/4h)
- Hedge Weights (4h): 42.8% BRETT / 57.2% BTC
- Relative Price: 0.0000000817 (BRETT/BTC)
Sentiment & Technical Context
- Sentiment: Both assets are currently facing bearish sentiment. BRETT is seeing muted engagement, while BTC is struggling to maintain key support levels, reflecting a broader risk-off market environment.
- Remark: This setup is a classic mean-reversion play. While the statistical Z-score (-2.18) suggests BRETT is oversold relative to BTC, the bearish sentiment for both assets introduces significant risk. In a risk-off regime, meme coins like BRETT often experience deeper drawdowns than BTC, which could cause the spread to widen further despite the current statistical "cheapness." Proceed with caution; this trade bets on a recovery in the BRETT/BTC ratio that may be delayed by broader market weakness.
BRETT
BTC