Correlation: 0.70 · Cointegrated: yes
Z-score: -1.15 entry / -2.47 rolling
Half-life 1.9h · Hurst 0.89 · Hedge ratio 0.50
Pair volatility: 28.16%
Backtest: 81.48% win · Sharpe 4.36 · 2.44% return · 0.72% max drawdown
Pair Analysis: ETC / SUPER
- Roll Z-Score: -2.52 (1h) / -2.28 (4h)
- Correlation: 0.70
- Cointegration: True
- Half-Life: 46h (1h) / 16h (4h)
- Hedge Ratio (4h): 0.50 (50% ETC / 50% SUPER)
Analysis
- Statistical Setup: The pair is currently exhibiting a strong mean-reversion signal. With a 1h Roll Z-Score of -2.52, ETC is statistically "cheap" relative to SUPER. The quant-optimal direction (Long ETC / Short SUPER) aligns with your stated intent to capture this spread compression.
- Sentiment Conflict: There is a significant divergence between the statistical signal and current market sentiment.
- ETC (Bearish): Social sentiment is weak, with low volume and broader retail apathy toward the Ethereum Classic ecosystem.
- SUPER (Bullish): Sentiment is currently bullish, driven by institutional interest and utility as collateral.
- Risk Note: While the statistical setup is compelling (mean reversion), you are effectively "catching a falling knife" on ETC while shorting a momentum-favored asset (SUPER). The trade relies on the spread mean-reverting despite the fundamental sentiment headwinds. If the sentiment divergence persists or widens, the statistical edge may be overwhelmed by directional trend.
ETC
SUPER