Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.88 · Cointegrated: yes
Z-score: 1.42 entry / 1.65 rolling
Half-life 5.8h · Hurst 0.90 · Hedge ratio 0.74
Pair volatility: 22.80%
Backtest: 44.44% win · Sharpe -0.63 · -0.33% return · 0.98% max drawdown
Pair Analysis: Long DOT / Short ARB
This setup aligns with both the statistical mean-reversion signal and the current fundamental sentiment divergence between the two assets.
- Statistical Signal: The pair is currently showing a positive roll z-score (1.65 on 1h, 1.02 on 4h), indicating that ARB is statistically "rich" relative to DOT. The trade direction (Long DOT / Short ARB) is aligned with the quant-optimal mean-reversion path.
- Sentiment Context:
- DOT: Sentiment is currently neutral, with a "wait-and-see" approach from the community.
- ARB: Sentiment is bearish, primarily driven by concerns over significant upcoming token unlocks, which are expected to create supply-side pressure.
- Key Metrics:
- Correlation: 0.88 (1h/4h) — strong co-movement, supporting the validity of the pair.
- Half-Life: 64h (4h timeframe) — suggests a multi-day mean-reversion horizon.
- Hedge Weights (4h): 41.2% DOT / 58.8% ARB (use these for sizing).
Note: The 1h z-score snapshot is ~1.2 hours old; ensure you check current price action to confirm the spread hasn't already corrected significantly before entry.
DOT
ARB