Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.65 · Cointegrated: yes
Z-score: -2.09 entry / -2.92 rolling
Half-life 1.2h · Hurst 0.92 · Hedge ratio 0.90
Pair volatility: 27.85%
Backtest: 88.89% win · Sharpe 4.55 · 2.57% return · 0.58% max drawdown
Pair Analysis: Long ETC / Short SUPER
This setup is a relative-value mean reversion trade. While both assets currently exhibit bearish sentiment, the statistical divergence suggests ETC is significantly oversold relative to SUPER.
- Roll Z-Score (1h): -2.92
- Roll Z-Score (4h): -2.13
- Correlation: 0.65
- Hedge Ratio (4h): 0.904 (Long 0.904 ETC / Short 1.0 SUPER)
Analysis:
- Statistical Divergence: The 1h z-score of -2.92 indicates a strong statistical deviation where ETC is "cheap" relative to SUPER. This is a high-conviction mean-reversion signal, as the pair is trading well outside its recent historical spread.
- Sentiment Context: Both assets are currently bearish. However, in a pair trade, the absolute direction of the market is secondary to the relative performance. You are betting that if the market drops, SUPER will underperform (drop more) than ETC, or if the market rallies, ETC will outperform (rise more) than SUPER.
- Risk Note: The 1h z-score is ~1.3 hours old. Given the high volatility in both assets, verify current spot prices to ensure the divergence has not already closed significantly since the last snapshot.
Trade Spec (Execution Context):
- Direction: Long ETC / Short SUPER
- Hedge Weights (4h): 52.5% ETC / 47.5% SUPER
- Note: The trade is aligned with the quant-optimal direction (Long ETC / Short SUPER) based on the negative z-score.
ETC
SUPER