Correlation: 0.61 · Cointegrated: yes
Z-score: -1.63 entry / -0.29 rolling
Half-life 3.4h · Hurst 0.93 · Hedge ratio 1.87
Pair volatility: 32.59%
Backtest: 57.89% win · Sharpe 1.96 · 1.79% return · 1.36% max drawdown
Pair Analysis: Long REZ / Short SUPER
Statistical Snapshot
- 1h Roll Z-Score: -1.87 (REZ is statistically "cheap" relative to SUPER)
- 4h Roll Z-Score: -1.72
- 1d Roll Z-Score: -1.08
- Correlation: 0.64 (4h)
- Hedge Weights (4h): 20.4% REZ / 79.6% SUPER
Sentiment & Technical Context
- REZ (Long Leg): Bearish. Sentiment is heavily pressured by imminent insider supply unlocks and "Strong Sell" technical signals.
- SUPER (Short Leg): Bullish. Supported by institutional adoption (Invesco/USTB) and active utility.
Analysis Note
This trade is a statistical mean-reversion play (buying the "cheap" asset, selling the "rich" one) that is fundamentally misaligned with current sentiment. While the deep negative z-score (-1.87) suggests the spread is stretched and potentially due for a bounce, you are effectively "fading the trend" by going long on a token with significant supply-side headwinds (REZ) and shorting a token with strong institutional momentum (SUPER).
- Risk: The statistical edge relies on the spread reverting to the mean, but the fundamental divergence (REZ bearish / SUPER bullish) could cause the spread to widen further, overriding the mean-reversion signal.
- Sizing: If proceeding, use the 4h hedge weights (approx. 1:4 ratio) to maintain the intended exposure.
REZ
SUPER