Pair is reverting towards the mean, but either the movement is decelerating or volatility is elevated.
short spread · 18× leverage · regime WEAK_REVERSION (medium confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 2.77 |
| Z-score | 2.77 at entry · 1.41 pair |
| Correlation | 0.72 · cointegrated |
| Half-life | 4.6h |
| Hurst | 0.93 |
| Hedge ratio | 0.85 · long-term beta 0.81 |
| Beta stability | stable · current 0.85 · range 0.02–1.01 · 0 sign changes |
| Lead–lag peak corr | 0.72 |
| Pair volatility | 41.42% |
| Momentum | z-velocity -0.20 · acceleration +0.27 · vol ratio 0.29 |
Backtest
| Metric | Value |
|---|
| Win rate | 73.33% — 11W / 4L over 15 trades |
| Sharpe | 3.45 |
| Total return | +2.71% |
| Max drawdown | 1.23% |
Pair Analysis: Long SNDK / Short MRVL
This setup is currently aligned with mean-reversion signals, as the spread between MRVL and SNDK is statistically extended.
- Roll Z-Score: 2.77 (1h) / 3.25 (4h)
- Interpretation: The positive Z-score indicates that MRVL is currently "rich" relative to SNDK. Your proposed trade (Long SNDK / Short MRVL) is a bet on this spread mean-reverting (narrowing).
- Correlation: 0.72 (1h)
- Half-Life: ~1.2 days (4h timeframe)
- Note: The 4h half-life suggests a relatively quick mean-reversion potential, though the 1h half-life is significantly longer (~4.6 days), indicating some noise in the short-term signal.
- Sentiment: No specific sentiment data available for these assets.
Remark: The trade is technically supported by the elevated Z-score, suggesting the pair is currently stretched. However, given the divergence between the 1h and 4h half-lives, monitor the spread closely for confirmation of the reversion trend before sizing aggressively. Ensure you are aware that these assets are traded via the xyz deployer on Hyperliquid.
SNDK
MRVL