Correlation: 0.73 · Cointegrated: yes
Z-score: 0.87 entry / 1.54 rolling
Half-life 0.9h · Hurst 0.88 · Hedge ratio 0.86
Pair volatility: 35.66%
Backtest: 80.00% win · Sharpe 4.80 · 3.89% return · 1.10% max drawdown
Pair Analysis: Long BB / Short AIXBT
- Roll Z-Score: 3.71 (1h) / 2.24 (4h)
- Correlation: 0.73 (1h)
- Hedge Ratio: 0.844 (4h)
- Cointegration: True (1h/4h)
- Half-Life: ~23h (1h) / ~7h (4h)
Trade Remark:
This setup is technically and fundamentally aligned. The high positive Z-score (3.71 on 1h) indicates AIXBT is significantly "rich" relative to BB, supporting a mean-reversion trade (Short AIXBT / Long BB). This is reinforced by bearish sentiment on AIXBT, driven by recent security concerns (hack), liquidity risks (whale exit), and exchange delisting news, which provides a strong fundamental catalyst for the spread to compress.
BB
AIXBT