Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.64 · Cointegrated: yes
Z-score: -1.45 entry / -1.62 rolling
Half-life 4.6h · Hurst 0.90 · Hedge ratio 0.21
Pair volatility: 32.74%
Backtest: 81.82% win · Sharpe 2.54 · 1.18% return · 0.97% max drawdown
Pair Analysis: Long ETC / Short MINA
This setup is a relative value play where you are betting on ETC outperforming MINA (or MINA underperforming ETC).
Statistical Snapshot
- Roll Z-Score: -1.62 (1h) / -1.75 (4h)
- Interpretation: The negative z-score indicates that ETC is currently "cheap" relative to MINA based on historical correlation.
- Correlation: 0.64 (1h) / 0.60 (4h)
- Interpretation: Moderate correlation; the pair moves somewhat in tandem, but there is sufficient divergence for a mean-reversion trade.
- Hedge Weights (4h): 88.6% ETC / 11.4% MINA
- Note: Sizing should be heavily weighted toward the ETC leg to maintain a neutral delta.
Sentiment & Context
- ETC (Bearish): Sentiment is currently bearish, driven by low volume and a lack of community conviction. It is struggling to find a narrative catalyst.
- MINA (Bearish): Sentiment is also bearish. Recent price action appears beta-driven rather than asset-specific, and the asset faces liquidity headwinds following recent delisting news for specific regions.
Summary
The trade is aligned with the quant-optimal direction (Long ETC / Short MINA). While both assets are fundamentally bearish, the negative z-score suggests that MINA is currently "richer" than ETC, making this a tactical play on MINA's relative weakness. Monitor the 1h/4h z-scores closely, as the snapshot data is slightly aged and market conditions for both assets are currently fragile.
ETC
MINA