Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.80 · Cointegrated: yes
Z-score: 1.28 entry / 1.62 rolling
Half-life 3.1h · Hurst 0.91 · Hedge ratio 0.21
Pair volatility: 18.30%
Backtest: 75.00% win · Sharpe 1.19 · 0.35% return · 0.63% max drawdown
Pair Analysis: Long DOGE / Short BNB
This setup is a relative-value trade betting on the mean reversion of the BNB/DOGE spread. The positive z-score indicates that BNB is currently "rich" relative to DOGE, aligning with your directional intent.
Statistical Snapshot
- Roll Z-Score: 1.62 (1h) — Indicates BNB is statistically extended relative to DOGE.
- Correlation: 0.80
- Cointegration: True (1h/4h)
- Half-Life: ~22h (4h timeframe)
- Hedge Weights (4h): 20.1% DOGE / 79.9% BNB (Use these for sizing)
Market Context
- Sentiment: Both assets are currently facing bearish sentiment. DOGE has broken critical support at $0.071, and BNB is also under pressure.
- Trade Logic: Because both assets are bearish, this is a relative strength play. You are not betting on a DOGE rally, but rather that BNB will underperform DOGE (or fall faster) as the spread mean-reverts.
- Risk Note: The 1h z-score (1.62) is ~1.4 hours old. Given the bearish sentiment and recent support break in DOGE, monitor for rapid spread divergence if DOGE continues to bleed faster than BNB.
Note: The trade direction (Long DOGE / Short BNB) is aligned with the quant-optimal direction based on the positive z-score (BNB rich vs DOGE).
DOGE
BNB