Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -1.67 entry / -3.30 rolling
Half-life 2.0h · Hurst 0.91 · Hedge ratio 1.16
Pair volatility: 32.44%
Backtest: 60.71% win · Sharpe -1.61 · -1.45% return · 3.34% max drawdown
Pair Analysis: Long BB / Short SAND
This pair is currently a high-conviction live signal (Rank 1), supported by strong cointegration and a deep 1h mean-reversion signal.
- Roll Z-Score (1h): -3.30 (Strongly negative; indicates BB is statistically "cheap" relative to SAND on a short-term basis).
- Correlation: 0.72 (1h)
- Cointegration: True (1h, 4h)
- Half-Life: 49h (1h) / 14h (4h)
- Hedge Weights (4h): 45.8% BB / 54.2% SAND
Market Context & Sentiment:
- SAND: Sentiment is currently bearish, characterized by community fatigue and technical weakness (trading below major moving averages with rising sell volume).
- BB: No specific sentiment data available, but the pair's statistical divergence (1h Z-score of -3.30) suggests the market has over-extended the spread between the two, creating a mean-reversion opportunity.
Note: The 1h Z-score is significantly more extreme than the 4h (+0.45) and 1d (-0.57) readings. This indicates the trade is driven by a sharp, recent intraday divergence rather than a long-term structural shift. Ensure your entry accounts for this volatility, as the 1h signal is the primary driver of the current conviction.
BB
SAND