Correlation: 0.77 · Cointegrated: yes
Z-score: 1.07 entry / 2.65 rolling
Half-life 1.8h · Hurst 0.89 · Hedge ratio 0.41
Pair volatility: 30.15%
Backtest: 51.85% win · Sharpe 1.79 · 1.23% return · 1.03% max drawdown
Pair Analysis: BB / APT
- Roll Z-Score: 2.94 (1h) / 1.61 (4h)
- Correlation: 0.77 (1h)
- Cointegration: True (1h/4h)
- Half-Life: ~1.7 days (1h)
- Hedge Weights (4h): 30.6% BB / 69.4% APT
Analysis & Sentiment:
- Mean Reversion: The pair is currently exhibiting a strong positive Z-score, indicating that APT is statistically "rich" relative to BB. Your stated direction (Long BB / Short APT) is the quant-optimal mean-reversion trade, as it involves selling the rich asset (APT) and buying the relatively cheaper one (BB).
- Sentiment:
- APT: Bullish. Recent sentiment is supported by on-chain upgrades (AIP-146) and new infrastructure (DecibelTrade), which are creating structural demand.
- BB: No specific sentiment data available.
- Remark: While the statistical setup (Z-score 2.94) suggests a mean-reversion opportunity, the bullish sentiment surrounding APT's infrastructure developments may act as a headwind to the "Short APT" leg. The trade is technically sound based on the spread divergence, but the fundamental strength in APT suggests monitoring for a potential regime shift rather than a simple reversion to the mean.
BB
APT