Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -1.31 entry / -1.51 rolling
Half-life 1.5h · Hurst 0.88 · Hedge ratio 1.62
Pair volatility: 26.99%
Backtest: 68.18% win · Sharpe 1.58 · 1.24% return · 1.71% max drawdown
Pair Analysis: SAND / SUPER
- Roll Z-Score: -1.51 (1h) / -1.42 (4h)
- Correlation: 0.73 (1h)
- Hedge Ratio: 1.62 (4h)
- Cointegration: True (1h/4h)
Setup Remark:
This trade is a statistical mean-reversion play currently fighting divergent fundamental sentiment.
- Statistical View: The negative Z-score (-1.51) indicates that SAND is statistically "cheap" relative to SUPER. The pair shows strong cointegration on shorter timeframes (1h/4h), suggesting the spread is currently stretched and likely to revert toward the mean.
- Sentiment View: There is a clear fundamental mismatch. SAND is currently facing bearish sentiment due to structural downtrends and macro risk-off pressure, while SUPER is benefiting from bullish sentiment driven by institutional adoption and utility.
- Risk Note: You are effectively "buying the dip" on a fundamentally weaker asset (SAND) while "shorting the strength" of a fundamentally stronger one (SUPER). While the statistical edge is present, the trade relies on the spread narrowing via mean reversion rather than a directional move in SAND. Monitor for a breakdown in cointegration if the sentiment divergence widens further.
SAND
SUPER