Correlation: 0.66 · Cointegrated: yes
Z-score: -1.08 entry / -1.83 rolling
Half-life 1.3h · Hurst 0.89 · Hedge ratio 1.00
Pair volatility: 36.85%
Backtest: 77.27% win · Sharpe 2.10 · 1.48% return · 1.38% max drawdown
Pair Analysis: Long STRK / Short SUPER
Statistical Snapshot
- Roll Z-Score (1h): -2.68 (STRK is statistically cheap relative to SUPER)
- Roll Z-Score (4h): -0.67
- Correlation: 0.66 (1h)
- Cointegration: True (1h, 4h)
- Hedge Ratio (4h): 0.966 (approx. 1:1 sizing)
Sentiment & Fundamental Context
- STRK (Bearish): Sentiment is heavily pressured by a recent -9.65% weekly drop and operational headwinds, specifically the Upbit withdrawal halt, which has damaged user confidence and contributed to the asset plumbing all-time lows.
- SUPER (Bullish): Sentiment is strongly positive following institutional validation; Invesco’s management of Superstate’s $967M USTB fund is a significant structural tailwind that differentiates SUPER from broader market volatility.
Remark
This setup presents a high-conviction statistical mean-reversion opportunity (1h Z-score of -2.68) that is directly contradicted by fundamental sentiment. While the pair is statistically "stretched" (STRK oversold vs. SUPER), the divergence is driven by tangible news: SUPER is benefiting from institutional adoption, while STRK is suffering from exchange-specific operational issues.
Trade Caution: The statistical signal suggests a "buy the dip" on STRK vs. SUPER, but the fundamental divergence is significant. If you enter this mean-reversion trade, be aware that you are betting against the current news cycle; ensure your stop-loss is tight, as the "cheap" asset (STRK) may remain cheap or continue to underperform until the operational headwinds (Upbit issues) are resolved.
STRK
SUPER