Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.66 · Cointegrated: yes
Z-score: 2.09 entry / 1.95 rolling
Half-life 5.8h · Hurst 0.91 · Hedge ratio 0.78
Pair volatility: 38.84%
Backtest: 81.82% win · Sharpe 2.75 · 2.19% return · 1.14% max drawdown
Pair Analysis: BIGTIME / AZTEC
- Roll Z-Score: 1.95 (1h) / 1.73 (4h)
- Correlation: 0.66 (1h)
- Cointegration: True
- Half-Life: ~1.4d (4h) to ~5.8d (1h)
- Hedge Weights (4h): 43.3% BIGTIME / 56.7% AZTEC
Remark:
The pair is statistically rich (Z-score > 1.7), which supports the mean-reversion trade of Long BIGTIME / Short AZTEC. However, exercise caution: sentiment for BIGTIME is currently bearish due to structural supply concerns and token unlocks. While the statistical setup is aligned, the fundamental outlook for the long leg is weak, which may increase the risk of the spread failing to revert or continuing to diverge.
BIGTIME
AZTEC