Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.70 · Cointegrated: yes
Z-score: 1.81 entry / 1.93 rolling
Half-life 2.8h · Hurst 0.92 · Hedge ratio 0.84
Pair volatility: 30.67%
Backtest: 66.67% win · Sharpe 1.36 · 1.13% return · 1.41% max drawdown
Pair Analysis: Long SUPER / Short RSR
- Roll Z-Score (1h): 1.93 (RSR is rich relative to SUPER)
- Roll Z-Score (4h): -0.72
- Roll Z-Score (1d): 1.12
- Correlation: 0.70 (1h)
- Hedge Ratio (4h): 0.82 (Sizing: ~45% SUPER / ~55% RSR)
Analysis & Sentiment:
- Setup: The 1h and 1d z-scores indicate that RSR is currently "rich" relative to SUPER, supporting the Long SUPER / Short RSR direction. The 4h z-score is slightly negative, suggesting some intraday noise or divergence, but the overall multi-timeframe alignment (1h/1d) favors the mean-reversion of the spread.
- Sentiment: Both assets carry bullish narratives, but the drivers differ. SUPER is benefiting from strong speculative momentum and whale accumulation. RSR is anchored by a specific governance catalyst (proposed supply burn), which may be creating a "rich" valuation premium that is susceptible to mean reversion if the market prices in the event or if organic demand fails to follow the narrative.
- Note: The trade direction (Long SUPER / Short RSR) is aligned with the quant-optimal direction derived from the 1h and 1d z-scores. Be aware that the 1h z-score is ~1.3 hours old; verify current price action to ensure the spread hasn't already corrected significantly.
SUPER
RSR