Correlation: 0.63 · Cointegrated: yes
Z-score: 1.85 entry / 0.86 rolling
Half-life 1.7h · Hurst 0.90 · Hedge ratio 0.53
Pair volatility: 29.36%
Backtest: 75.00% win · Sharpe 2.09 · 1.84% return · 1.27% max drawdown
Pair Analysis: Long SUPER / Short PEOPLE
This setup is a mean-reversion trade targeting the relative richness of PEOPLE against SUPER.
Statistical Diagnostics
- Roll Z-Score: 1.32 (1h), 1.85 (4h), 0.86 (1d).
- Interpretation: The positive z-score across all timeframes confirms that PEOPLE is currently trading "rich" relative to SUPER. Your chosen direction (Long SUPER / Short PEOPLE) is aligned with the mean-reversion signal.
- Correlation: 0.60–0.63 (Moderate).
- Hedge Weights (4h): 43.4% SUPER / 56.6% PEOPLE.
- Half-Life (4h): ~12 hours (indicates a relatively fast mean-reversion process).
Sentiment & Context
- SUPER: Neutral. Sentiment is mixed with low engagement. While historically backed, the token is fully unlocked, which may create ongoing supply-side headwinds.
- PEOPLE: Bearish. The asset is currently showing weaker sentiment, which aligns with the statistical signal suggesting it is overextended relative to SUPER.
Remark
The trade is statistically well-supported by the positive z-score, indicating PEOPLE is currently overvalued against SUPER. The 4h half-life of 12 hours suggests the spread may close relatively quickly if the mean-reversion holds. Monitor the 4h z-score (currently 1.85); a move toward 2.0+ would strengthen the conviction for this short-PEOPLE/long-SUPER bias, while a breakdown in correlation could invalidate the setup.
SUPER
PEOPLE