Correlation: 0.70 · Cointegrated: yes
Z-score: -2.12 entry / -0.43 rolling
Half-life 5.8h · Hurst 0.91 · Hedge ratio 2.62
Pair volatility: 34.63%
Backtest: 50.00% win · Sharpe -1.89 · -1.16% return · 1.97% max drawdown
Pair Analysis: Long BB / Short ICP
- Roll Z-Score: -1.60 (1h) | -1.14 (4h) | -1.12 (1d)
- Note: Negative z-scores indicate the spread is currently "cheap" (BB is weak relative to ICP). The current setup aligns with the quant-optimal direction (Long BB / Short ICP).
- Correlation: 0.70 (1h) | 0.66 (4h) | 0.41 (1d)
- Hedge Weights (4h): 29.6% BB / 70.4% ICP
- Venue Status:
- BB: Listed on Hyperliquid (xyz:BB, max 10x)
- ICP: Listed on Hyperliquid (ICP, max 5x)
Remark
The pair is currently trading at a discount (negative z-score), suggesting BB is oversold relative to ICP. The quant-optimal direction (Long BB / Short ICP) is aligned with your stated intent. Sentiment on ICP is currently bearish, driven by persistent spot selling pressure, which provides a fundamental tailwind for the short leg of this trade. Given the 1h z-score of -1.60, the setup is statistically attractive for a mean-reversion play, though the 1h snapshot is ~1.2h old; verify recent price action before entry.
BB
ICP