Pair is reverting towards the mean, but either the movement is decelerating or volatility is elevated.
Regime: WEAK_REVERSION (medium confidence)
Correlation: 0.75 · Cointegrated: yes
Z-score: 1.79 entry / 1.77 rolling
Half-life 5.8h · Hurst 0.90 · Hedge ratio 0.46
Pair volatility: 27.01%
Backtest: 80.00% win · Sharpe 4.33 · 2.44% return · 1.31% max drawdown
Pair Analysis: BIGTIME / ANIME
- Roll Z-Score (1h): 1.77
- Roll Z-Score (4h): 2.09
- Correlation: 0.66 (4h)
- Hedge Ratio: 0.311 (4h)
- Sentiment:
- BIGTIME: Bearish (supply unlocks, exchange delistings).
- ANIME: Bearish (significant upcoming unlocks, low engagement).
Remark
This is a relative-value mean reversion setup. The positive z-score (1.77 on 1h, 2.09 on 4h) indicates that ANIME is currently rich relative to BIGTIME. While both assets share a bearish fundamental outlook, the trade exploits the divergence where ANIME is statistically overextended against BIGTIME. The 4h timeframe shows stronger divergence than the 1d timeframe, suggesting the mean-reversion pressure is currently active. Use caution given the high Hurst exponent (0.82-0.90), which indicates a trending regime rather than pure mean reversion.
BIGTIME
ANIME