Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.79 · Cointegrated: yes
Z-score: 1.63 entry / 2.06 rolling
Half-life 0.7h · Hurst 0.86 · Hedge ratio 0.69
Pair volatility: 28.65%
Backtest: 61.90% win · Sharpe 1.84 · 1.23% return · 0.95% max drawdown
Pair Analysis: Long TURBO / Short PNUT
This setup aligns a strong statistical mean-reversion signal with a clear sentiment divergence.
- Roll Z-Score: 2.06 (1h)
- Interpretation: The positive z-score indicates that PNUT is currently "rich" relative to TURBO. The trade (Long TURBO / Short PNUT) is betting on this spread mean-reverting as PNUT cools off or TURBO catches up.
- Correlation: 0.79 (1h)
- Interpretation: A strong correlation suggests the pair moves together, making the spread deviation (the z-score) a reliable indicator of relative mispricing rather than just noise.
- Sentiment Divergence:
- TURBO: Bullish sentiment; community support remains resilient.
- PNUT: Bearish sentiment; signs of speculative froth deflating and high-volume distribution.
- Technical Note: The 1h z-score of 2.06 is statistically significant, suggesting the spread is extended. The 1h snapshot is ~1.3 hours old; verify current price action to ensure the spread hasn't already corrected significantly.
Summary: The trade is well-aligned with both the quantitative signal (PNUT rich vs. TURBO) and the qualitative sentiment (Bullish vs. Bearish). The high z-score suggests a high-conviction mean-reversion setup, provided the correlation holds.
TURBO
PNUT