Z-score (-1.38) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.63 · Cointegrated: yes
Z-score: -1.91 entry / -1.38 rolling
Half-life 3.2h · Hurst 0.84 · Hedge ratio 1.34
Pair volatility: 36.88%
Backtest: 73.91% win · Sharpe 1.48 · 1.16% return · 0.96% max drawdown
Pair Analysis: Long BB / Short SNX
- Roll Z-Score (1h): -1.38 (Snapshot ~1.3h old)
- Roll Z-Score (4h): -2.55 (Snapshot ~6.3h old)
- Roll Z-Score (1d): -1.81 (Snapshot ~1.1d old)
- Correlation: 0.63 (1h)
- Hedge Weights (4h): 56.0% BB / 44.0% SNX
Setup Remark:
This setup is statistically aligned with mean reversion. The negative z-scores across all timeframes indicate that BB is currently "cheap" relative to SNX. The trade direction (Long BB / Short SNX) is consistent with the quant-optimal direction, effectively betting on the spread narrowing as BB recovers or SNX mean-reverts lower.
Sentiment & Context:
- SNX: Sentiment is bearish, driven by concerns over an upcoming governance vote and competitive pressure from decentralized perpetual exchanges.
- BB: No specific sentiment data available.
- Technical Note: The 4h z-score of -2.55 suggests a significant deviation from the mean. Given the bearish sentiment on SNX, the short leg has fundamental tailwinds supporting the trade, though the 4h snapshot is ~6 hours old; verify recent price action to ensure the spread hasn't already corrected.
Asset Availability:
- BB: Listed on Hyperliquid (
xyz:BB), max 10x leverage.
- SNX: Listed on Hyperliquid (
SNX), max 3x leverage.
BB
SNX