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: 1.29 entry / 2.53 rolling
Half-life 2.3h · Hurst 0.86 · Hedge ratio 1.37
Pair volatility: 41.84%
Backtest: 75.86% win · Sharpe 2.99 · 3.24% return · 1.41% max drawdown
Pair Analysis: Long SUPER / Short SAGA
This setup is currently identified as a live signal (Long SUPER / Short SAGA).
Statistical Snapshot
- 1h Roll Z-Score: 2.53 (SAGA is statistically rich relative to SUPER)
- Correlation: 0.61
- Half-Life: 54h (~2.3d)
- Hedge Ratio (1h): 1.373 (Sizing: 57.9% SUPER / 42.1% SAGA)
- Cointegration: True (1h)
Note: Z-scores are snapshots (1h age). The 1h roll z-score of 2.53 indicates a significant divergence where SAGA has outperformed SUPER relative to their historical mean, supporting the mean-reversion trade of Long SUPER / Short SAGA.
Sentiment & Context
- SUPER (Bullish): Sentiment is supported by institutional endorsement (Invesco's management of the USTB fund) and increasing utility as collateral on Solana protocols.
- SAGA (Bearish): Sentiment is negative due to a strategic pivot to AI Labs and the sale of its crypto division, which has led to uncertainty and a notable liquidity drain.
Remark
This pair aligns a strong fundamental divergence with a clear statistical signal. The high 1h roll z-score (2.53) suggests SAGA is currently overextended against SUPER. Given the bearish sentiment surrounding SAGA's strategic pivot and the bullish institutional momentum behind SUPER, the setup is well-supported by both quantitative mean-reversion metrics and fundamental narrative.
SUPER
SAGA