Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.79 · Cointegrated: yes
Z-score: 1.38 entry / 5.33 rolling
Half-life 1.6h · Hurst 0.91 · Hedge ratio 0.54
Pair volatility: 32.68%
Backtest: 71.43% win · Sharpe 0.72 · 0.64% return · 3.26% max drawdown
Pair Analysis: Long YGG / Short VIRTUAL
- Roll Z-Score: 5.33 (1h), 1.07 (4h)
- Interpretation: The positive z-score indicates VIRTUAL is currently "rich" relative to YGG. Your chosen direction (Long YGG / Short VIRTUAL) aligns with the mean-reversion signal, betting on the spread narrowing as VIRTUAL potentially underperforms YGG.
- Correlation: 0.79 (High)
- Hedge Weights (4h): 35.1% YGG / 64.9% VIRTUAL
- Sentiment:
- YGG: Bearish (supply concerns due to upcoming token unlocks).
- VIRTUAL: Bearish (limited engagement and potential selling pressure post-unlock).
- Note: While the statistical setup supports the mean-reversion trade, both assets carry bearish sentiment. The high correlation (0.79) suggests they move together, but the z-score divergence highlights a temporary relative mispricing that you are looking to exploit. Ensure you monitor the 1h z-score closely, as it is significantly elevated (5.33), suggesting a sharp recent divergence.
YGG
VIRTUAL