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: -1.25 entry / -2.74 rolling
Half-life 0.5h · Hurst 0.87 · Hedge ratio 1.16
Pair volatility: 38.85%
Backtest: 74.07% win · Sharpe 3.93 · 3.72% return · 0.91% max drawdown
Pair Analysis: Long AVNT / Short SUPER
- Roll Z-Score (1h): -2.74 (Strong mean-reversion signal; AVNT is statistically "cheap" relative to SUPER)
- Roll Z-Score (4h): -0.94
- Correlation: 0.60
- Cointegration: 1h (True), 4h/1d (False)
- Hedge Weights (4h): 48.4% AVNT / 51.6% SUPER
Analysis & Sentiment:
- Statistical Divergence: The 1h z-score of -2.74 indicates a significant short-term deviation where AVNT has underperformed SUPER relative to their historical relationship. This aligns with a mean-reversion setup favoring a Long AVNT / Short SUPER position.
- Sentiment: Both assets carry bullish sentiment, but for different reasons. AVNT is supported by the RWA Phase 1A launch catalyst, while SUPER benefits from institutional-grade utility and endorsement.
- Setup Note: The trade is statistically well-aligned with the 1h mean-reversion signal. Given the moderate correlation (0.60) and the divergence in cointegration across timeframes, monitor the 1h z-score closely; if the spread fails to tighten, the lack of longer-term cointegration suggests the relationship may be shifting.
AVNT
SUPER