Correlation: 0.67 · Cointegrated: yes
Z-score: 1.18 entry / 2.24 rolling
Half-life 2.1h · Hurst 0.92 · Hedge ratio 0.30
Pair volatility: 39.55%
Backtest: 65.38% win · Sharpe 0.18 · 0.12% return · 2.74% max drawdown
Pair Analysis: W / BOME
- Roll Z-Score (1h): 2.45 (BOME is rich relative to W)
- Roll Z-Score (4h): 2.46
- Roll Z-Score (1d): 0.31
- Correlation: 0.67 (1h)
- Hedge Ratio (4h): 0.713 (Sizing: 41.6% W / 58.4% BOME)
- Relative Price: 21.42 (W/BOME)
Setup Remark
- Mean Reversion: The 1h and 4h z-scores (2.45/2.46) indicate BOME is significantly overextended relative to W. This setup is a classic mean-reversion play, betting that the spread will contract as BOME's recent relative outperformance cools.
- Sentiment: Both assets currently face bearish sentiment. While W is driven by macro/institutional factors, BOME is suffering from a lack of volume follow-through and sector rotation. This pair trade effectively isolates the relative performance between the two, neutralizing broader market directionality.
- Technical Note: The 1h z-score is ~1.2h old; verify current price action before entry, as the high z-score suggests a rapid divergence that may be prone to volatility.
W
BOME