Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.73 · Cointegrated: yes
Z-score: -1.23 entry / -1.52 rolling
Half-life 2.4h · Hurst 0.89 · Hedge ratio 1.24
Pair volatility: 31.97%
Backtest: 61.54% win · Sharpe -2.80 · -2.58% return · 4.27% max drawdown
Pair Analysis: Long BB / Short SAND
This setup is a mean-reversion trade targeting the current spread divergence.
- Roll Z-Score: -1.52 (1h) / -0.96 (4h)
- Interpretation: The negative z-score indicates that the BB/SAND spread is currently "cheap" (BB is undervalued relative to SAND). Your direction (Long BB / Short SAND) is aligned with the quant-optimal mean-reversion strategy.
- Correlation: 0.73 (1h)
- Hedge Ratio: 1.24 (4h)
- Sentiment:
- SAND: Bearish. Social sentiment is thin, and the asset is showing signs of community fatigue with rising selling volume.
- BB: No specific sentiment data available.
- Technical Note: The 1h z-score (-1.52) suggests a statistically significant deviation from the mean. With SAND showing bearish sentiment and BB trading at a relative discount, the setup is technically supported by the current spread dynamics.
Note: Z-scores are snapshots (1h age ~1.3h). Verify current price action, as significant intraday moves can render these snapshots stale.
BB
SAND