Correlation: 0.63 · Cointegrated: yes
Z-score: -1.76 entry / -1.12 rolling
Half-life 4.8h · Hurst 0.92 · Hedge ratio 1.63
Pair volatility: 39.51%
Backtest: 78.57% win · Sharpe 1.42 · 1.46% return · 2.83% max drawdown
Pair Analysis: Long BRETT / Short GAS
- Roll Z-Score: -1.25 (1h) / -1.07 (4h)
- Correlation: 0.63 (1h) / 0.57 (4h)
- Half-Life: 115h (1h) / 38h (4h)
- Cointegration: True (1h) / False (4h)
Analysis:
- Mean Reversion: The negative Roll Z-Score indicates the BRETT/GAS spread is currently trading below its historical mean, suggesting BRETT is "cheap" relative to GAS. Your "Long BRETT / Short GAS" direction aligns with a mean-reversion strategy (buying the spread).
- Sentiment: Both assets are currently facing bearish sentiment. BRETT is suffering from low social engagement and a technical downtrend, while GAS faces dilution concerns and waning speculative interest.
- Conviction: The 1h timeframe shows cointegration, which supports the pair's statistical relationship, but the 4h timeframe does not. Given the bearish sentiment on both legs, this trade is essentially a bet on which asset will underperform less or recover faster, rather than a strong fundamental divergence.
- Note: The 1d timeframe suggests an inverse optimal direction (Long GAS / Short BRETT), indicating potential long-term divergence. Exercise caution given the bearish sentiment across both assets.
BRETT
GAS