Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.70 · Cointegrated: yes
Z-score: -1.73 entry / -1.60 rolling
Half-life 1.7h · Hurst 0.90 · Hedge ratio 1.69
Pair volatility: 30.96%
Backtest: 62.50% win · Sharpe -0.81 · -0.69% return · 1.91% max drawdown
Pair Analysis: Long BB / Short GAS
- Roll Z-Score: -1.60 (1h) / -1.62 (4h) / -2.02 (1d)
- Interpretation: Negative z-scores indicate BB is statistically "cheap" relative to GAS. The trade is a mean-reversion play (Long BB / Short GAS).
- Correlation: 0.70 (1h)
- Half-Life: 42h (1h) / 15h (4h)
- Sentiment:
- BB: No sentiment data available.
- GAS: Bearish (macro-driven risk-off sentiment, lack of catalysts).
- Execution Note:
- BB: Listed as
xyz:BB (10x max leverage).
- GAS: Listed as
GAS (3x max leverage).
- Note: The bearish sentiment on GAS provides fundamental support for the short leg of this mean-reversion setup. The statistical alignment (negative z-score) suggests the pair is currently extended, favoring the Long BB / Short GAS direction.
BB
GAS