Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.66 · Cointegrated: yes
Z-score: -1.81 entry / -1.77 rolling
Half-life 0.8h · Hurst 0.86 · Hedge ratio 0.65
Pair volatility: 34.34%
Backtest: 74.07% win · Sharpe 3.26 · 2.40% return · 0.96% max drawdown
Pair Analysis: Long GMT / Short SUPER
- Roll Z-Score (1h): -1.77 (GMT is statistically cheap relative to SUPER)
- Roll Z-Score (4h): -2.34
- Roll Z-Score (1d): -1.07
- Correlation: 0.66 (1h)
- Hedge Weights (4h): 43.1% Long GMT / 56.9% Short SUPER
- Sentiment Divergence:
- GMT: Bearish (supply overhang from recent unlocks, lack of relief rally).
- SUPER: Bullish (institutional endorsement, active utility).
- Setup Note: The statistical setup (Long GMT / Short SUPER) is a mean-reversion play betting on GMT's relative undervaluation. However, the sentiment backdrop is fundamentally misaligned: you are long the bearish asset and short the bullish one. This trade is currently fighting strong fundamental headwinds despite the attractive statistical entry.
GMT
SUPER