Correlation: 0.69 · Cointegrated: yes
Z-score: 0.85 entry / 3.90 rolling
Half-life 3.7h · Hurst 0.90 · Hedge ratio 0.22
Pair volatility: 31.65%
Backtest: 70.59% win · Sharpe -1.15 · -0.42% return · 1.17% max drawdown
Pair Analysis: Long TAO / Short BNB
This setup aligns with the current mean-reversion signal, as the pair is trading at an elevated Z-score, indicating BNB is statistically rich relative to TAO.
- Roll Z-Score (1h): 5.90 (BNB rich vs TAO)
- Roll Z-Score (4h): 2.30 (BNB rich vs TAO)
- Correlation: 0.69 (1h)
- Cointegration: True (1h/4h)
- Hedge Ratio (4h): 0.238 (Sizing: ~19% TAO / ~81% BNB)
Remark:
The trade is well-aligned with the current statistical signal, as the positive Z-score suggests BNB is overextended against TAO. Sentiment for TAO remains bullish, driven by institutional interest and structural growth, which may provide a tailwind for the long leg. Note that the 1h Z-score (5.90) is significantly higher than the 4h (2.30), suggesting a rapid divergence; verify recent price action to ensure the spread hasn't already mean-reverted since the last snapshot.
TAO
BNB