Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.78 · Cointegrated: yes
Z-score: 1.56 entry / 1.90 rolling
Half-life 2.7h · Hurst 0.88 · Hedge ratio 1.26
Pair volatility: 23.14%
Backtest: 57.89% win · Sharpe 0.38 · 0.26% return · 1.66% max drawdown
Pair Analysis: NEO / ANIME
- Roll Z-Score (1h): 1.90 (ANIME is statistically rich relative to NEO)
- Roll Z-Score (4h): 0.90
- Correlation: 0.78 (1h)
- Half-Life: 64h (1h) / 14h (4h)
Analysis:
- Mean Reversion: The 1h Roll Z-Score of 1.90 indicates that ANIME is currently trading at a significant premium relative to NEO. Your proposed direction (Long NEO / Short ANIME) aligns with the mean-reversion signal, betting on the spread narrowing as ANIME mean-reverts downward or NEO outperforms.
- Sentiment Alignment: The trade is supported by divergent sentiment. NEO currently holds bullish community sentiment, while ANIME faces bearish pressure due to significant upcoming token unlocks (44.75% of market cap), which creates a fundamental supply-side headwind for the short leg.
- Technical Note: The 1h z-score is ~1.2 hours old. Given the high correlation (0.78), ensure the spread has not already corrected significantly since the last snapshot. The 4h timeframe shows a lower z-score (0.90), suggesting the extreme divergence is more pronounced on shorter timeframes.
NEO
ANIME