Correlation: 0.74 · Cointegrated: yes
Z-score: -1.13 entry / -2.39 rolling
Half-life 1.4h · Hurst 0.89 · Hedge ratio 2.47
Pair volatility: 33.72%
Backtest: 63.64% win · Sharpe 1.40 · 0.85% return · 1.32% max drawdown
Pair Analysis: Long APT / Short BNB
- Roll Z-Score: -3.04 (1h) / -2.85 (4h)
- Interpretation: The spread is significantly stretched in favor of the Long APT / Short BNB direction. A z-score of -3.04 indicates the pair is statistically "cheap" relative to its recent mean, suggesting a potential mean-reversion opportunity.
- Correlation: 0.74 (1h) / 0.70 (4h)
- Interpretation: Strong positive correlation, supporting the validity of the pair trade.
- Cointegration: True (1h/4h)
- Interpretation: The assets are cointegrated on shorter timeframes, reinforcing the statistical basis for the trade.
- Hedge Ratio: ~2.6 (4h)
- Interpretation: For every $1 of APT long exposure, you would typically hedge with ~$2.60 of BNB short exposure.
- Sentiment:
- APT: Bullish. Contrarian accumulation signal due to recent price action and structural upgrades.
- BNB: Neutral/Bearish. No significant bullish sentiment detected.
Remark:
This setup is statistically compelling, with a deeply negative z-score (-3.04) suggesting the spread is currently oversold for the Long APT / Short BNB direction. The combination of strong cointegration and bullish sentiment for APT provides a solid fundamental backdrop for this mean-reversion trade. Ensure you monitor the 1h/4h z-scores closely, as the snapshot is ~1-4 hours old and the spread may have moved.
APT
BNB