Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: -2.07 entry / -2.89 rolling
Half-life 1.4h · Hurst 0.90 · Hedge ratio 0.39
Pair volatility: 47.50%
Backtest: 80.65% win · Sharpe 5.15 · 4.29% return · 0.83% max drawdown
Pair Analysis: Long PNUT / Short SAGA
- Roll Z-Score (1h): -2.89 (Strongly negative; PNUT is statistically "cheap" relative to SAGA)
- Roll Z-Score (4h): -1.82
- Correlation: 0.61 (1h)
- Hedge Ratio (4h): 0.564 (Sizing: ~64% PNUT / ~36% SAGA)
- Sentiment: Bearish for both assets.
Remark:
This setup is a classic mean-reversion play where PNUT has significantly diverged to the downside relative to SAGA. The 1h Z-score of -2.89 indicates a high-conviction statistical entry for a Long PNUT / Short SAGA position, as the spread is currently stretched.
However, the broader sentiment is bearish for both tokens—PNUT is seeing distribution froth, while SAGA faces structural headwinds from liquidity shifts. Because both assets are trending downward, this is a relative value trade rather than a directional bet on growth. You are essentially betting that PNUT will outperform SAGA (or decline less severely) as the spread mean-reverts. Given the bearish sentiment, ensure tight risk management, as a correlated market-wide dump could widen the spread further despite the current statistical "cheapness."
PNUT
SAGA