Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.67 · Cointegrated: yes
Z-score: 1.24 entry / 2.22 rolling
Half-life 0.6h · Hurst 0.90 · Hedge ratio 0.46
Pair volatility: 29.69%
Backtest: 65.22% win · Sharpe 3.95 · 3.38% return · 1.63% max drawdown
Pair Analysis: YGG / SUPER
- Roll Z-Score: 0.70 (4h) / 2.22 (1h)
- Interpretation: Positive z-scores indicate SUPER is currently "rich" relative to YGG. The 1h z-score of 2.22 suggests a significant short-term deviation, supporting a mean-reversion setup.
- Correlation: 0.66 (4h)
- Hedge Weights (4h): 30.7% YGG / 69.3% SUPER
- Cointegration: True (4h)
Setup Remark
This trade presents a divergence between quant signals and fundamental sentiment:
- Quant Signal (Mean Reversion): The positive z-score suggests SUPER has outperformed YGG recently and is statistically "rich," favoring a Long YGG / Short SUPER position to capture the spread narrowing.
- Fundamental Sentiment (Bearish YGG): Sentiment analysis flags YGG as bearish due to upcoming token unlocks (7.49% of market cap), which may create persistent selling pressure. SUPER remains neutral.
Risk Note: While the statistical setup (z-score) supports the Long YGG / Short SUPER trade, the fundamental headwind for YGG (unlocks) may override the mean-reversion tendency. If YGG's price drops due to supply dilution, the spread may widen further rather than revert, potentially invalidating the mean-reversion thesis. Proceed with caution if the fundamental catalyst is expected to dominate the technical mean-reversion.
YGG
SUPER