Z-score (-1.35) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.60 · Cointegrated: yes
Z-score: -2.44 entry / -1.35 rolling
Half-life 3.4h · Hurst 0.88 · Hedge ratio 1.33
Pair volatility: 48.48%
Backtest: 73.68% win · Sharpe 3.21 · 3.89% return · 1.41% max drawdown
Pair Analysis: Long NBIS / Short WDC
This pair is currently showing strong mean-reversion potential, with the spread significantly extended in favor of the long leg (NBIS).
- Roll Z-Score: -1.35 (1h) / -2.83 (4h) / -2.68 (1d)
- Note: The negative z-scores indicate that NBIS is statistically "cheap" relative to WDC. The 4h and 1d z-scores are deeply negative, suggesting a significant divergence from the historical mean.
- Correlation: 0.60 (1h) / 0.59 (4h) / 0.70 (1d)
- The correlation is moderate, providing a reasonable basis for a pair trade, though it is not exceptionally tight.
- Hedge Weights (4h): 46% NBIS / 54% WDC
- Note: Use these weights for sizing.
- Sentiment: No specific sentiment data available for these assets.
Summary:
The setup is technically compelling due to the deeply negative z-scores across the 4h and 1d timeframes, which suggests the spread has stretched well beyond its typical range. The trade aligns with the quant-optimal direction (Long NBIS / Short WDC). Given the lack of specific sentiment drivers, this trade is primarily a statistical mean-reversion play. Ensure you monitor the spread closely, as the 1d half-life is quite short (~5 hours), indicating that the statistical edge may dissipate quickly if the mean reversion triggers.
NBIS
WDC