Pair is strongly diverging away from the mean. High risk of further deviation.
short spread · 18× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 2.11 |
| Z-score | 2.11 at entry · 1.21 pair |
| Correlation | 0.67 · cointegrated |
| Half-life | 2.7h |
| Hurst | 0.86 |
| Hedge ratio | 0.33 · long-term beta 0.27 |
| Beta stability | stable · current 0.33 · range -0.09–0.77 · 7 sign changes |
| Lead–lag peak corr | 0.67 |
| Pair volatility | 29.81% |
| Momentum | z-velocity +1.76 · acceleration +1.75 · vol ratio 0.26 |
Backtest
| Metric | Value |
|---|
| Win rate | 90.48% — 19W / 2L over 21 trades |
| Sharpe | 5.15 |
| Total return | +1.81% |
| Max drawdown | 0.42% |
Pair Analysis: Long SUSHI / Short BTC
- Roll Z-Score: 1.30 (4h snapshot) — indicates BTC is currently "rich" relative to SUSHI on a mean-reversion basis.
- Correlation: 0.62 (4h)
- Half-Life: 16h (4h timeframe) — suggests a relatively fast mean-reversion cycle.
- Hedge Weights (4h): 28.4% SUSHI / 71.6% BTC
Sentiment & Technical Context
- Divergence Warning: While the statistical signal (positive Z-score) supports a Long SUSHI / Short BTC trade, the fundamental sentiment is strongly divergent.
- SUSHI: Bearish sentiment; the market is fading recent product news, and on-chain fundamentals (fees/volume) remain weak.
- BTC: Bullish sentiment; institutional demand and ETF inflows continue to provide a floor, potentially keeping BTC "rich" relative to altcoins for longer than mean-reversion models anticipate.
- Risk Note: This setup is a classic "statistical value" play running against "fundamental momentum." The positive Z-score suggests SUSHI is oversold relative to BTC, but the bearish sentiment on SUSHI implies the spread could widen further before reverting. Ensure your risk management accounts for the possibility of the pair trending against the mean-reversion signal due to the fundamental divergence.
SUSHI
BTC