Pair is reverting towards the mean, but either the movement is decelerating or volatility is elevated.
Regime: WEAK_REVERSION (medium confidence)
Correlation: 0.84 · Cointegrated: yes
Z-score: 1.45 entry / 2.22 rolling
Half-life 4.2h · Hurst 0.90 · Hedge ratio 1.12
Pair volatility: 25.83%
Backtest: 66.67% win · Sharpe 1.37 · 0.58% return · 0.88% max drawdown
Pair Analysis: Long NEO / Short ARB
This setup aligns with both the quantitative mean-reversion signal and current sentiment divergence.
Quantitative Stats
- Roll Z-Score: 1.12 (4h) / 2.22 (1h) — The positive z-score indicates ARB is currently "rich" relative to NEO, supporting the short-ARB/long-NEO direction.
- Correlation: 0.84 (Strong)
- Hedge Weights (4h): 46.6% NEO / 53.4% ARB (Use these for sizing).
- Status: Cointegrated (4h).
Sentiment & Context
- NEO: Bullish sentiment driven by community speculation and project development.
- ARB: Bearish sentiment due to concerns regarding upcoming token unlocks and potential supply pressure.
- Alignment: The trade is well-supported; you are effectively selling an asset facing supply headwinds (ARB) against one with positive sentiment momentum (NEO).
Trade Note
The 1h z-score (2.22) is elevated, suggesting the spread has widened significantly in the short term. Ensure your entry accounts for this volatility, as the 4h z-score (1.12) provides a more tempered view of the mean-reversion opportunity.
NEO
ARB