Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.74 · Cointegrated: yes
Z-score: 1.93 entry / 3.52 rolling
Half-life 1.3h · Hurst 0.90 · Hedge ratio 0.29
Pair volatility: 28.66%
Backtest: 75.00% win · Sharpe 2.61 · 2.01% return · 2.07% max drawdown
- Roll Z-Score: 3.52 (1h), 2.52 (4h)
- Correlation: 0.74 (1h)
- Cointegration: True
- Half-Life: 30h (1h), 9h (4h)
- Hedge Weights (4h): 18% SAND / 82% PEOPLE
- Sentiment: SAND (Bearish), PEOPLE (No data)
Analysis:
- The 1h Roll Z-Score of 3.52 indicates a significant statistical divergence where PEOPLE is currently rich relative to SAND. This supports the mean-reversion trade (Long SAND / Short PEOPLE).
- The 4h Roll Z-Score of 2.52 confirms the divergence is persistent across timeframes, though the 1h snapshot is the most aggressive signal.
- Sentiment for SAND is bearish, which may introduce directional risk to the long leg of the pair.
- Sizing should be guided by the 4h hedge weights (18% SAND / 82% PEOPLE) to account for the relative volatility and cointegration strength.
SAND
PEOPLE