Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -1.38 entry / -2.14 rolling
Half-life 1.7h · Hurst 0.88 · Hedge ratio 1.55
Pair volatility: 31.71%
Backtest: 73.08% win · Sharpe 2.67 · 2.02% return · 1.34% max drawdown
Pair Analysis: Long BB / Short TURBO
This setup is a mean-reversion trade targeting the relative undervaluation of BB against TURBO.
- Roll Z-Score: -2.14 (1h) / -2.41 (4h)
- Interpretation: The negative z-score indicates BB is currently "cheap" relative to TURBO. The trade is aligned with the quant-optimal direction (Long BB / Short TURBO).
- Correlation: 0.73 (1h)
- Sentiment:
- TURBO: Bearish; speculative interest is fading, and the asset is underperforming the broader market.
- BB: No specific sentiment data available.
- Technical Context:
- The 1h and 4h z-scores are significantly negative, suggesting a strong statistical deviation.
- The 4h half-life is ~16 hours, indicating a relatively fast mean-reversion expectation.
- Note: Z-scores are snapshots (1h age for 1h TF, 6.3h age for 4h TF). Verify recent price action to ensure the deviation hasn't already corrected.
Tradeability:
- BB:
xyz:BB (Max 10x leverage)
- TURBO:
TURBO (Max 3x leverage)
- Note: BB is a HIP-3 asset (
xyz deployer) and TURBO is a core asset. Ensure you have the appropriate collateral (USDC) funded for both legs.
BB
TURBO