Correlation: 0.80 · Cointegrated: yes
Z-score: 1.02 entry / 2.20 rolling
Half-life 2.1h · Hurst 0.92 · Hedge ratio 0.24
Pair volatility: 17.62%
Backtest: 38.89% win · Sharpe -2.12 · -0.61% return · 1.01% max drawdown
Pair Analysis: Long XRP / Short BNB
- Roll Z-Score: 3.74 (1h) / 1.88 (4h)
- Note: The positive z-score indicates BNB is currently "rich" relative to XRP. Your direction (Long XRP / Short BNB) is quant-optimally aligned with this mean-reversion signal.
- Correlation: 0.80 (1h)
- Half-Life: 54h (1h) / 14h (4h)
- Hedge Weights (4h): 18.1% XRP / 81.9% BNB
Analysis & Sentiment:
- Statistical Setup: The 1h z-score of 3.74 is significantly extended, suggesting the spread has deviated meaningfully from its historical mean. This is a strong statistical signal for a mean-reversion trade (selling the rich leg, buying the cheap leg).
- Sentiment: Sentiment for XRP is currently bearish due to regulatory headwinds (the shelving of the Digital Asset Market Clarity Act). While the statistical setup is compelling, the fundamental backdrop for the long leg (XRP) is weak, which may increase the risk of the spread failing to revert or continuing to diverge.
- Execution: Both assets are available on Hyperliquid (Core). Ensure you are sizing based on the 4h hedge weights (18.1% / 81.9%) to avoid the noise inherent in 1h sizing.
XRP
BNB