Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.68 · Cointegrated: yes
Z-score: -1.74 entry / -2.38 rolling
Half-life 0.7h · Hurst 0.88 · Hedge ratio 1.78
Pair volatility: 36.73%
Backtest: 72.41% win · Sharpe 3.22 · 3.04% return · 0.92% max drawdown
Pair Analysis: Long AVNT / Short SUPER
- Roll Z-Score (1h): -2.38
- Roll Z-Score (4h): -0.90
- Roll Z-Score (1d): -1.31
- Correlation: 0.68
- Hedge Ratio (4h): 1.79 (Long 35.9% / Short 64.1%)
Setup Remark:
This is a mean-reversion play supported by a statistically "cheap" spread (negative z-scores across all timeframes). The 1h z-score of -2.38 indicates the spread is significantly below its mean, suggesting AVNT is currently undervalued relative to SUPER.
Sentiment Context:
- AVNT: Neutral sentiment; the asset is drifting without a clear catalyst, which provides a stable base for a long position in a mean-reversion pair.
- SUPER: Bullish sentiment; strong speculative momentum and whale accumulation are driving the price. However, the crowd's heavy bullishness acts as a contrarian signal, increasing the probability of a pullback or consolidation that would favor this short leg.
Note: The 1h z-score is ~1.3h old. Given the high volatility often associated with SUPER's speculative momentum, verify current spot prices to ensure the spread hasn't already corrected significantly since the last snapshot.
AVNT
SUPER