Z-score (1.26) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.78 · Cointegrated: yes
Z-score: 1.54 entry / 1.26 rolling
Half-life 5.0h · Hurst 0.92 · Hedge ratio 0.58
Pair volatility: 30.49%
Backtest: 54.55% win · Sharpe -1.36 · -0.89% return · 1.94% max drawdown
Pair Analysis: Long BB / Short APT
- Roll Z-Score (1h): 1.26 (APT rich vs BB)
- Roll Z-Score (4h): -0.45 (BB rich vs APT)
- Roll Z-Score (1d): 1.97 (APT rich vs BB)
- Correlation: 0.78 (1h)
- Cointegration: True (1h, 4h)
- Hedge Weights (4h): 33.7% BB / 66.3% APT
Analysis & Remark
- Signal Divergence: The trade setup is supported by the 1h and 1d timeframes, which indicate APT is currently "rich" relative to BB, favoring a Long BB / Short APT position. However, the 4h timeframe shows a negative z-score, suggesting BB is currently "rich" relative to APT. This divergence suggests the pair is in a period of volatility or regime shift; the 4h signal acts as a cautionary note against the primary mean-reversion thesis.
- Sentiment: APT sentiment is bullish, driven by on-chain upgrades and new infrastructure, which may provide a tailwind for the short leg (APT) to remain resilient or outperform, potentially working against the mean-reversion trade. No specific sentiment data is available for BB.
- Technical Context: With a 1h correlation of 0.78 and cointegration confirmed on shorter timeframes, the pair exhibits a stable relationship, but the conflicting z-score signals across timeframes suggest a lack of high-conviction alignment. Exercise caution; the 4h signal's disagreement with the 1h/1d trend implies the pair may be testing a local support/resistance level rather than a clean mean-reversion setup.
BB
APT