Correlation: 0.73 · Cointegrated: yes
Z-score: 1.66 entry / 0.79 rolling
Half-life 1.1h · Hurst 0.89 · Hedge ratio 0.92
Pair volatility: 34.31%
Backtest: 73.08% win · Sharpe 4.30 · 3.56% return · 1.10% max drawdown
Pair Analysis: BB / AIXBT
- Roll Z-Score: 1.43 (1h) / 0.41 (4h)
- Correlation: 0.73
- Half-Life: 27h (1h) / 8h (4h)
- Hedge Ratio: 0.91 (1h) / 0.92 (4h)
Setup Remark
This setup is a mean-reversion play targeting the divergence where AIXBT has become statistically "rich" relative to BB (Z-score +1.43).
Risk/Conviction Note: While the statistical setup supports a Long BB / Short AIXBT trade, the sentiment analysis flags AIXBT as having strong bullish momentum and narrative traction. Shorting an asset with active, surging volume and positive sentiment creates "momentum risk"—the spread may continue to widen (Z-score increasing) despite the mean-reversion signal. If you proceed, monitor the 1h Z-score closely; if it pushes toward +2.0 without a reversal, the mean-reversion thesis may be invalidated by the current trend.
BB
AIXBT