Z-score (-1.46) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.89 · Cointegrated: yes
Z-score: -1.55 entry / -1.46 rolling
Half-life 4.6h · Hurst 0.91 · Hedge ratio 0.36
Pair volatility: 12.61%
Backtest: 64.29% win · Sharpe 1.43 · 0.27% return · 0.50% max drawdown
Pair Analysis: Long BTC / Short ETH
This setup is a mean-reversion trade targeting the relative undervaluation of BTC against ETH.
Statistical Snapshot
- Roll Z-Score (1h): -1.46 (BTC is statistically "cheap" relative to ETH)
- Roll Z-Score (4h): -1.45
- Roll Z-Score (1d): -2.34
- Correlation: 0.89 (1h)
- Cointegration: Confirmed (1h, 4h)
- Hedge Weights (4h): 77.4% BTC / 22.6% ETH
Sentiment & Context
- BTC: Bullish sentiment driven by whale accumulation and declining exchange balances, suggesting a potential supply squeeze.
- ETH: Bearish sentiment.
- Alignment: The trade direction (Long BTC / Short ETH) is supported by both the statistical mean-reversion signal (negative z-score) and the divergent sentiment between the two assets.
Notes
- Z-Score Staleness: The 1h z-score is ~1.3 hours old. Given the high correlation, ensure the relative price hasn't shifted significantly since the last snapshot before entry.
- Execution: Both assets are available on Hyperliquid (Core/USDC).
- Sizing: 4h hedge weights (77.4% BTC / 22.6% ETH) are recommended for position sizing.
BTC
ETH