Z-score (1.42) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.75 · Cointegrated: yes
Z-score: 1.87 entry / 1.42 rolling
Half-life 2.7h · Hurst 0.89 · Hedge ratio 0.22
Pair volatility: 35.04%
Backtest: 65.00% win · Sharpe 2.01 · 0.67% return · 0.72% max drawdown
Pair: PENGU / BNB
- Roll Z-Score: 1.42 (1h), 1.89 (4h)
- Correlation: 0.75 (1h)
- Half-Life: 64h (1h), 22h (4h)
- Hedge Ratio (4h): 0.001 (Note: 4h hedge weight is extremely low; 1d weight is 0.423)
- Sentiment: PENGU is currently bearish due to aggressive futures selling and supply pressure from token unlocks. No sentiment data is available for BNB.
Analysis Note:
The pair is currently showing a positive roll z-score, indicating that BNB is statistically "rich" relative to PENGU. The trade (Long PENGU / Short BNB) aligns with the quant-optimal direction for mean reversion. However, note the bearish sentiment on PENGU, which may introduce directional risk despite the statistical mean-reversion signal. The 4h hedge weight is very low, suggesting high volatility or decoupling in the short term; consider the 1d hedge weight (0.423) for more stable sizing.
PENGU
BNB