Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.76 · Cointegrated: yes
Z-score: 1.49 entry / 1.79 rolling
Half-life 2.4h · Hurst 0.90 · Hedge ratio 0.79
Pair volatility: 28.07%
Backtest: 59.26% win · Sharpe -0.93 · -0.84% return · 3.02% max drawdown
Pair Analysis: SAND / LINEA
- Roll Z-Score (1h): 1.79 (LINEA is rich relative to SAND)
- Roll Z-Score (4h): 3.07 (Strongly positive; indicates significant divergence)
- Correlation: 0.76 (1h)
- Half-Life: 57h (1h) / 23h (4h)
- Hedge Ratio (4h): 0.764 (Sizing: 43.3% SAND / 56.7% LINEA)
Trade Context
- Directional Alignment: The user's stated direction (Long SAND / Short LINEA) is quant-optimal based on the positive z-score (selling the rich asset, buying the cheap one).
- Sentiment: Both assets face bearish headwinds. SAND suffers from a cooling metaverse narrative and persistent sell-pressure; LINEA faces supply-side risks from upcoming token unlocks and holder concentration.
- Technical Note: The 4h z-score of 3.07 suggests an extreme divergence. While this supports the mean-reversion trade, the high z-score also reflects significant volatility in the spread. Ensure stop-losses are set to account for potential further divergence before mean reversion occurs.
SAND
LINEA