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: 2.75 entry / 2.97 rolling
Half-life 1.5h · Hurst 0.88 · Hedge ratio 0.45
Pair volatility: 31.62%
Backtest: 65.38% win · Sharpe -0.36 · -0.43% return · 2.87% max drawdown
Pair Analysis: Long SAND / Short BOME
- Roll Z-Score: 2.97 (1h) / 3.38 (4h)
- Note: The high positive z-score indicates BOME is currently statistically "rich" relative to SAND. Your direction (Long SAND / Short BOME) is the quant-optimal mean-reversion play.
- Correlation: 0.73 (1h) / 0.66 (4h)
- Cointegration: Confirmed (1h/4h)
- Half-Life: 9h (4h timeframe) — indicates a relatively fast mean-reversion expectation.
- Hedge Weights (4h): 25.6% SAND / 74.4% BOME
Sentiment & Technical Context
- SAND: Bearish structural trend; currently trading in a weak, low-conviction environment.
- BOME: Bearish; recent speculative froth has faded, and the asset is showing signs of exhaustion.
- Setup Remark: This is a relative-value mean-reversion trade. You are betting that the recent divergence (where BOME outperformed/held up better than SAND) will compress. Because both assets share a bearish sentiment, this is a "short-the-weaker-asset, long-the-less-weak-asset" play rather than a directional bullish bet. The high z-score suggests the spread is extended, offering a strong statistical entry for mean reversion.
Execution Details
- Venue: Hyperliquid (Core)
- SAND: Max 5x leverage
- BOME: Max 3x leverage
SAND
BOME