Z-score (-1.36) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.64 · Cointegrated: yes
Z-score: -1.63 entry / -1.36 rolling
Half-life 4.6h · Hurst 0.89 · Hedge ratio 1.90
Pair volatility: 38.25%
Backtest: 75.00% win · Sharpe 2.29 · 1.49% return · 1.02% max drawdown
Pair Analysis: Long BIGTIME / Short SNX
- Roll Z-Score: -1.36 (1h), -1.99 (4h), -2.01 (1d)
- Correlation: 0.64 (1h)
- Hedge Ratio: ~1.99 (4h)
- Half-Life: 25h (4h timeframe)
Analysis:
- Statistical Setup: The pair is currently exhibiting a negative z-score across all timeframes, indicating that BIGTIME is statistically "cheap" relative to SNX. The trade direction (Long BIGTIME / Short SNX) aligns with the quant-optimal mean-reversion signal.
- Sentiment Context: Both assets carry bearish sentiment. BIGTIME is facing pressure from token unlocks and liquidity concerns, while SNX is struggling with governance uncertainty and competitive erosion.
- Trade Note: This is a relative-value play. You are betting that BIGTIME will outperform SNX (or decline less severely) as the spread mean-reverts. Given the bearish sentiment on both legs, this trade is essentially a "lesser of two evils" bet; ensure your risk management accounts for the potential of both assets to trend lower simultaneously.
Note: Z-scores are snapshots; verify current price action as the 1h z-score is ~1.3h old.
BIGTIME
SNX