Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.76 · Cointegrated: yes
Z-score: -1.38 entry / -4.54 rolling
Half-life 2.9h · Hurst 0.89 · Hedge ratio 1.22
Pair volatility: 23.20%
Backtest: 52.94% win · Sharpe -0.69 · -0.58% return · 1.68% max drawdown
Pair Analysis: ANIME / NEO
Statistical Snapshot
- 1h Roll Z-Score: -4.54 (ANIME is statistically "cheap" relative to NEO on a short-term basis)
- 4h Roll Z-Score: -2.18
- 1d Roll Z-Score: 0.17
- Correlation: 0.76 (1h)
- Hedge Weights (4h): 50.5% ANIME / 49.5% NEO
Sentiment & Context
- ANIME (Bearish): Facing significant headwinds from upcoming supply unlocks (44.75% of market cap), which may continue to suppress price action regardless of short-term mean reversion.
- NEO (Bullish): Strong fundamental catalysts, including the upcoming Gorgon hard fork and new institutional custody integration (BitGo), creating potential upward pressure.
Remark
This setup presents a high-conviction statistical mean-reversion signal (1h z-score of -4.54) that is fundamentally misaligned. While the pair is statistically "stretched" to the downside for ANIME, the sentiment divergence is significant: you are effectively fading a bullish trend in NEO and attempting to catch a falling knife in ANIME.
The trade relies entirely on the assumption that the statistical spread will tighten faster than the fundamental bearish pressure on ANIME and bullish pressure on NEO can widen it. Given the upcoming supply unlocks for ANIME, the risk of the spread failing to mean-revert and instead continuing to diverge is elevated.
ANIME
NEO