Pair is reverting towards the mean, but either the movement is decelerating or volatility is elevated.
Regime: WEAK_REVERSION (medium confidence)
Correlation: 0.63 · Cointegrated: yes
Z-score: 1.89 entry / 1.98 rolling
Half-life 5.8h · Hurst 0.90 · Hedge ratio 0.31
Pair volatility: 34.55%
Backtest: 78.57% win · Sharpe 4.54 · 3.92% return · 1.01% max drawdown
Pair Analysis: SUPER / ME
- Roll Z-Score: 1.98 (1h) / 1.76 (4h) / 1.97 (1d)
- Correlation: 0.63 (1h)
- Hedge Ratio: 0.31 (1h)
- Direction: Long SUPER / Short ME (Aligned with quant-optimal mean-reversion signal)
Remark:
This setup is a classic relative-value mean reversion trade. The positive z-score indicates that ME is currently "rich" relative to SUPER. Both assets share bullish sentiment—SUPER driven by institutional utility and ME by market share dominance—which suggests this is a non-directional play betting on the spread narrowing rather than a directional bet on either asset's absolute performance. The 1h z-score is ~1.3 hours old; ensure the spread hasn't already corrected before entry.
SUPER
ME