Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.77 · Cointegrated: yes
Z-score: -3.16 entry / -1.75 rolling
Half-life 1.4h · Hurst 0.90 · Hedge ratio 1.55
Pair volatility: 27.96%
Backtest: 68.18% win · Sharpe 1.14 · 0.74% return · 1.62% max drawdown
Pair Analysis: BB / SUPER
- Roll Z-Score: -1.75 (1h), -2.61 (4h), -2.46 (1d)
- Correlation: 0.77 (1h/4h), 0.58 (1d)
- Hedge Ratio (4h): 1.943 (Short 1.943 units of SUPER for every 1 unit of BB)
- Cointegration: 1h (True), 4h (False), 1d (True)
Remark
This setup is a mean-reversion trade (Long BB / Short SUPER) based on the negative z-scores, which indicate BB is statistically "cheap" relative to SUPER. However, exercise caution: SUPER is currently exhibiting strong bullish momentum with a 20%+ intraday surge and significant whale accumulation. Shorting SUPER into this momentum creates a high-risk counter-trend scenario. While the statistical spread suggests a reversion, the fundamental/sentiment divergence (SUPER's strength vs. BB's lack of sentiment data) may override the mean-reversion signal in the short term.
BB
SUPER