Z-score (-1.24) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.66 · Cointegrated: yes
Z-score: -1.52 entry / -1.24 rolling
Half-life 0.9h · Hurst 0.88 · Hedge ratio 1.96
Pair volatility: 38.37%
Backtest: 83.33% win · Sharpe 4.64 · 4.65% return · 1.68% max drawdown
Pair Analysis: BERA / SUPER
- Roll Z-Score (1h): -1.24
- Correlation: 0.66
- Hedge Ratio: 1.96 (4h)
- Quant-Optimal Direction: Long BERA / Short SUPER
Analysis & Remark
This setup presents a significant divergence between statistical mean-reversion signals and fundamental sentiment.
- Statistical Signal: The negative z-score (-1.24) indicates that BERA is currently "cheap" relative to SUPER on a historical basis, supporting a mean-reversion trade (Long BERA / Short SUPER).
- Sentiment Divergence: There is a clear conflict here. While the stats suggest a reversion, the sentiment is bearish on BERA (due to recent TVL drops and skepticism) and bullish on SUPER (driven by institutional adoption).
Remark: You are effectively betting against the current fundamental trend. While the statistical signal suggests the spread is stretched, the bearish sentiment on BERA and bullish sentiment on SUPER create a high risk of the spread widening further rather than closing. This is a "catching a falling knife" scenario where the statistical "cheapness" of BERA may be justified by its fundamental weakness. Proceed with caution if you choose to trade against the prevailing sentiment.
BERA
SUPER