Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.62 · Cointegrated: yes
Z-score: -1.71 entry / -1.80 rolling
Half-life 1.8h · Hurst 0.93 · Hedge ratio 0.63
Pair volatility: 44.87%
Backtest: 79.17% win · Sharpe 4.88 · 4.70% return · 1.58% max drawdown
Pair Analysis: Long DYM / Short SAGA
- Roll Z-Score (1h): -1.80 (DYM is statistically cheap relative to SAGA)
- Roll Z-Score (4h): -0.40
- Correlation: 0.62 (1h)
- Hedge Ratio (4h): 0.615 (Sizing: ~62% DYM / ~38% SAGA)
Technical & Sentiment Remark:
This setup is a mean-reversion play based on DYM's relative undervaluation against SAGA on the 1h and 4h timeframes. The negative z-scores suggest the spread has diverged, with DYM currently trading at a discount to its historical relationship with SAGA.
However, the fundamental backdrop is highly bearish for both assets:
- DYM: Facing significant headwinds from a prolonged communications blackout and ongoing token dilution from linear vesting.
- SAGA: Suffering from deep uncertainty following a strategic pivot and a liquidity drain after recent exchange delistings.
Trade Note: While the technicals support the Long DYM / Short SAGA direction (mean reversion), the shared bearish sentiment creates a "race to the bottom" dynamic. You are essentially betting that DYM will outperform SAGA (or fall less) in a broader downtrend. Given the poor fundamental health of both, this is a high-risk tactical trade rather than a structural conviction play.
DYM
SAGA