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: -1.24 entry / -1.93 rolling
Half-life 1.1h · Hurst 0.91 · Hedge ratio 0.65
Pair volatility: 28.30%
Backtest: 80.77% win · Sharpe 3.71 · 2.13% return · 0.72% max drawdown
Pair Analysis: Long ETC / Short SUPER
- Roll Z-Score (1h): -1.93 (Snapshot ~1.3h old)
- Correlation: 0.68
- Cointegration: True
- Half-Life (1h): 26h
- Hedge Weights (4h): 61.5% ETC / 38.5% SUPER
Setup Remark:
This is a mean-reversion trade betting that the current spread divergence is overextended. The negative 1h Roll Z-Score of -1.93 indicates that ETC is statistically "cheap" relative to SUPER.
Sentiment & Risk Note:
This trade is a contrarian play against current market sentiment. Social data for ETC is currently bearish, while SUPER is experiencing bullish momentum driven by whale accumulation and migration catalysts. The trade relies on the statistical probability of the spread snapping back to the mean, effectively betting that SUPER's current momentum is overextended and ETC's bearish sentiment has bottomed out. Given the high Hurst exponent (0.91 on 1h), the pair is exhibiting strong mean-reverting behavior, but the sentiment divergence suggests elevated risk of further trend continuation against your position.
ETC
SUPER