Correlation: 0.67 · Cointegrated: yes
Z-score: -0.92 entry / -1.98 rolling
Half-life 1.0h · Hurst 0.93 · Hedge ratio 1.20
Pair volatility: 27.71%
Backtest: 57.14% win · Sharpe 0.62 · 0.45% return · 1.60% max drawdown
Pair Analysis: Long DOT / Short SUPER
- Roll Z-Score: -3.44 (1h), -2.32 (4h), -0.74 (1d)
- Note: The negative z-score indicates DOT is currently "cheap" relative to SUPER on a mean-reversion basis. The 1h and 4h snapshots show a significant deviation, suggesting the pair is currently stretched.
- Correlation: 0.67 (1h), 0.65 (4h), 0.61 (1d)
- Cointegration: True (1h, 4h)
- Hedge Ratio (4h): 1.158 (Size 1.158 units of SUPER for every 1 unit of DOT)
- Half-Life (4h): ~7 hours
Sentiment & Context
- DOT: Neutral sentiment; market participants are currently in a "wait-and-see" mode with low engagement.
- SUPER: Neutral/Mixed sentiment; skepticism persists regarding project hype. Notably, all investor tokens have been released, which may create ongoing supply-side pressure, potentially supporting the "Short SUPER" leg of this trade.
Summary
The setup is statistically compelling for a mean-reversion trade, as the negative z-score aligns with the "Long DOT / Short SUPER" direction (buying the relatively cheap asset, selling the relatively rich one). The cointegration holds across the 1h and 4h timeframes, and the potential supply pressure on SUPER provides a fundamental tailwind for the short leg. Monitor the 1h z-score closely, as the snapshot is ~1.3 hours old and may have shifted with recent price action.
DOT
SUPER