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: 1.47 entry / 2.04 rolling
Half-life 5.8h · Hurst 0.92 · Hedge ratio 0.62
Pair volatility: 38.86%
Backtest: 50.00% win · Sharpe 1.75 · 1.81% return · 1.58% max drawdown
Pair Analysis: UMA / AZTEC
- Roll Z-Score (1h): 2.04 (AZTEC is statistically rich relative to UMA)
- Roll Z-Score (4h): 0.49
- Correlation (1h): 0.61
- Cointegration: 1h/4h (True)
- Hedge Weights (4h): 29.3% UMA / 70.7% AZTEC
Analysis & Remark:
The setup is statistically aligned with a mean-reversion trade (Short AZTEC / Long UMA), as the 1h Roll Z-Score of 2.04 indicates AZTEC is currently rich relative to UMA. However, this trade carries significant fundamental risk: UMA is currently facing bearish sentiment driven by structural concerns regarding oracle integrity and governance risks. While the statistical signal suggests AZTEC is overextended, longing UMA means taking exposure to an asset with negative fundamental momentum. The trade effectively bets on the spread narrowing via AZTEC mean-reverting, while potentially fighting the "long" leg's structural weakness.
UMA
AZTEC