Correlation: 0.62 · Cointegrated: yes
Z-score: 1.50 entry / 1.10 rolling
Half-life 5.8h · Hurst 0.91 · Hedge ratio 0.24
Pair volatility: 42.04%
Backtest: 71.43% win · Sharpe 2.52 · 2.37% return · 2.00% max drawdown
Pair Analysis: Long BRETT / Short AZTEC
This setup is currently aligned with the quant-optimal direction, as the pair is exhibiting a positive z-score, indicating AZTEC is relatively rich compared to BRETT.
Statistical Diagnostics
- Roll Z-Score (1h): 1.34 (Positive z-score confirms AZTEC is rich vs. BRETT)
- Correlation (1h): 0.62
- Half-Life (1h): 138h (~5.8d)
- Hurst Exponent (1h): 0.91 (Indicates strong trending behavior; mean reversion may be slower)
- Hedge Weights (4h): 3.8% BRETT / 96.2% AZTEC (Sizing on 4h; 1d weights are 51.2%/48.8% if you prefer a more balanced approach)
Sentiment & Context
- BRETT: Sentiment is currently bearish, with social mentions quiet and the asset in a technical downtrend.
- AZTEC: No specific sentiment data available.
Note: The 1h z-score is ~1.2h old. Given the Hurst exponent of 0.91, the pair is currently exhibiting trending behavior rather than strong mean reversion, which may increase the risk of the spread widening further before it converges.
BRETT
AZTEC