Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.65 · Cointegrated: yes
Z-score: 1.55 entry / 2.07 rolling
Half-life 4.5h · Hurst 0.90 · Hedge ratio 0.23
Pair volatility: 33.75%
Backtest: 91.67% win · Sharpe 4.66 · 1.58% return · 0.47% max drawdown
Pair Analysis: Long SUSHI / Short BTC
This setup is currently aligned with both statistical mean-reversion signals and fundamental sentiment.
- Roll Z-Score (1h): 2.07
- Roll Z-Score (4h): 1.09
- Correlation: 0.61–0.65
- Hedge Weights (4h): 19.5% SUSHI / 80.5% BTC
Analysis:
- Statistical Alignment: The positive z-score (2.07 on 1h) indicates that BTC is statistically "rich" relative to SUSHI. Your chosen direction (Long SUSHI / Short BTC) is the quant-optimal trade, betting on the spread mean-reverting as BTC cools off or SUSHI catches up.
- Sentiment: The trade benefits from a divergence in sentiment. SUSHI is seeing bullish interest driven by the Robinhood Chain integration, while BTC is facing bearish pressure from aggressive deleveraging and institutional outflows.
- Conviction: This is a high-conviction setup. The statistical signal is strong (z > 2.0 on 1h), and the fundamental narrative supports the directional bias.
Note: Z-scores are snapshots (1h is ~1.3h old). Given the bearish momentum in BTC, verify that recent price action hasn't already significantly compressed the spread before entry.
SUSHI
BTC