Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.82 · Cointegrated: yes
Z-score: -1.58 entry / -1.71 rolling
Half-life 2.2h · Hurst 0.91 · Hedge ratio 0.84
Pair volatility: 21.89%
Backtest: 43.75% win · Sharpe -2.95 · -1.32% return · 2.05% max drawdown
Pair Analysis: Long DOGE / Short NEO
- Roll Z-Score (1h): -1.71 (DOGE is statistically cheap relative to NEO)
- Roll Z-Score (4h): -1.90
- Correlation: 0.82 (1h)
- Hedge Weights (4h): 50.0% DOGE / 50.0% NEO
- Sentiment: DOGE (Neutral) vs. NEO (Bullish)
Remark:
This setup is a classic mean-reversion play. The pair is currently trading at a significant statistical discount (Z-scores of -1.71 to -1.90), suggesting that DOGE has diverged downward relative to NEO and is primed for a potential catch-up. However, the trade faces fundamental headwinds: while DOGE sentiment is neutral, NEO sentiment is currently bullish. This creates a "fighting the trend" risk where the short leg (NEO) may continue to show relative strength despite the statistical overextension. The trade is technically well-positioned for a reversion, but requires monitoring for a potential breakout in NEO that could invalidate the mean-reversion thesis.
DOGE
NEO