Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.69 · Cointegrated: yes
Z-score: -1.48 entry / -4.37 rolling
Half-life 3.9h · Hurst 0.88 · Hedge ratio 1.87
Pair volatility: 27.48%
Backtest: 75.00% win · Sharpe 0.96 · 0.57% return · 1.15% max drawdown
Pair Analysis: Long STX / Short UMA
- Roll Z-Score (1h): -4.37
- Roll Z-Score (4h): -5.90
- Correlation: 0.69 (1h)
- Hedge Ratio (4h): 0.565 (Long 0.565 STX / Short 1 UMA)
- Half-Life (4h): 33h (~1.4d)
Setup Remark:
This is a strong statistical mean-reversion setup. The significantly negative z-scores on the 1h (-4.37) and 4h (-5.90) timeframes indicate that STX is currently "cheap" relative to UMA, suggesting a potential snap-back.
Sentiment & Context:
- Sentiment: Both assets are currently facing bearish headwinds. STX is struggling with a failed breakout, while UMA's recent price action appears driven by unsustainable hype that is now fading.
- Trade Logic: Because both assets share a bearish outlook, this trade is a relative value play rather than a directional bet. You are effectively betting that UMA will underperform STX (or drop faster) as the "froth" leaves the market, rather than betting on a sustained rally for STX.
- Risk Note: The 1d z-score (0.57) is positive, showing a divergence between short-term mean reversion and longer-term trends. Given the bearish sentiment on both, ensure tight risk management as the pair may be volatile if the broader market drags both assets down simultaneously.
STX
UMA