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: -2.57 entry / -1.85 rolling
Half-life 5.8h · Hurst 0.87 · Hedge ratio 2.38
Pair volatility: 28.03%
Backtest: 75.00% win · Sharpe -1.39 · -0.77% return · 1.88% max drawdown
Pair Analysis: Long ATOM / Short BNB
This setup is a mean-reversion play based on the current spread divergence.
- Roll Z-Score: -1.85 (1h), -2.50 (4h), -2.53 (1d)
- Interpretation: The negative z-scores indicate that ATOM is statistically "cheap" relative to BNB. The deep negative values (<-2.0 on higher timeframes) suggest a significant divergence, supporting a mean-reversion trade (Long ATOM / Short BNB).
- Correlation: 0.61 (1h), 0.50 (4h), 0.60 (1d)
- Interpretation: Moderate correlation; the pair moves together but with enough independent volatility to create spread opportunities.
- Half-Life: ~5.8 days (1h/4h)
- Interpretation: The mean-reversion process is relatively slow, suggesting this is a medium-term trade rather than a quick scalp.
- Sentiment:
- ATOM: Bearish sentiment; sellers remain in control with limited near-term catalysts.
- BNB: No specific sentiment data available.
- Note: The z-score snapshot is ~1.4h old (1h timeframe). Given the bearish sentiment on ATOM, ensure the spread has not continued to widen significantly since the last data update before entering.
Trade Construction (Sizing based on 4h weights):
- Hedge Ratio: 3.224 (Short 3.224 units of BNB for every 1 unit of ATOM).
- Sizing Weights: 23.7% ATOM / 76.3% BNB.
ATOM
BNB