Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.67 · Cointegrated: yes
Z-score: -1.71 entry / -2.42 rolling
Half-life 0.8h · Hurst 0.89 · Hedge ratio 1.32
Pair volatility: 29.81%
Backtest: 73.08% win · Sharpe 3.33 · 3.01% return · 0.98% max drawdown
Pair Analysis: Long BIGTIME / Short SUPER
Statistical Diagnostics
- 1h Roll Z-Score: -2.42 (Strong statistical signal; the spread is currently "cheap" relative to its mean, supporting a mean-reversion long).
- 4h Roll Z-Score: -1.84
- 1d Roll Z-Score: -1.50
- Correlation: 0.67 (Moderate correlation; pair exhibits consistent co-movement).
- Hedge Weights (4h): 42.1% BIGTIME / 57.9% SUPER (Use for sizing).
Sentiment & Context
- BIGTIME: Bearish sentiment driven by concerns over upcoming token unlocks and potential supply pressure.
- SUPER: Neutral sentiment; the project is currently in a "wait-and-see" phase with low engagement.
Trade Note
The statistical setup is compelling, with a 1h z-score of -2.42 indicating the pair is significantly oversold relative to its historical mean. However, the fundamental backdrop presents a conflict: while the math suggests a mean-reversion long, the bearish sentiment surrounding BIGTIME's supply unlocks may act as a persistent headwind. The trade is currently aligned with the quant-optimal direction (Long BIGTIME / Short SUPER).
BIGTIME
SUPER