Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.80 · Cointegrated: yes
Z-score: 1.21 entry / 1.52 rolling
Half-life 3.0h · Hurst 0.91 · Hedge ratio 0.71
Pair volatility: 25.04%
Backtest: 53.33% win · Sharpe -2.75 · -1.17% return · 1.85% max drawdown
Pair Analysis: Long SUI / Short BTC
- Roll Z-Score: 1.52 (1h) / 1.24 (4h)
- Correlation: 0.80 (1h)
- Hedge Ratio: 0.71 (1h) / 0.53 (4h)
- Status: Mean-reversion aligned.
Remark:
The positive Z-score indicates that BTC is currently "rich" relative to SUI, making the Long SUI / Short BTC setup a mean-reversion play. While both assets share a bullish sentiment, SUI is currently supported by specific institutional demand and supply-side constraints (Sui Foundation treasury staking), which may provide a stronger relative performance tailwind compared to BTC's broader market-driven momentum. The 1h Z-score of 1.52 suggests the spread is extended; monitor for a reversion toward the mean as the 1h half-life is ~3 days.
SUI
BTC