Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.60 · Cointegrated: yes
Z-score: 2.26 entry / 2.57 rolling
Half-life 1.5h · Hurst 0.89 · Hedge ratio 0.64
Pair volatility: 45.86%
Backtest: 71.43% win · Sharpe 2.38 · 2.60% return · 2.09% max drawdown
Pair Analysis: Long TURBO / Short SAGA
- Roll Z-Score (1h): 2.57 (SAGA is statistically rich vs TURBO)
- Roll Z-Score (4h): -0.69 (SAGA is statistically cheap vs TURBO)
- Roll Z-Score (1d): 0.96 (SAGA is statistically rich vs TURBO)
- Correlation: 0.60 (1h/4h)
- Hedge Ratio (4h): 0.718 (Sizing: ~42% TURBO / ~58% SAGA)
Setup Remark:
This trade aligns with current sentiment, which is strongly bullish for TURBO and bearish for SAGA (driven by recent strategic pivots and liquidity concerns). The 1h and 1d z-scores confirm that SAGA is currently trading rich relative to TURBO, supporting the "Short SAGA / Long TURBO" direction. Note the divergence in the 4h timeframe (z-score -0.69), which suggests the pair has been volatile; the 1h signal (2.57) is the most relevant for immediate mean-reversion entry.
TURBO
SAGA