Z-score (-1.21) is too close to the mean to be considered for a trade.
Regime: IDLE (high confidence)
Correlation: 0.66 · Cointegrated: yes
Z-score: -1.51 entry / -1.21 rolling
Half-life 0.9h · Hurst 0.89 · Hedge ratio 2.05
Pair volatility: 37.68%
Backtest: 82.76% win · Sharpe 4.38 · 4.32% return · 1.68% max drawdown
Pair Analysis: BERA / SUPER
- Roll Z-Score (1h): -1.21 (BERA is statistically cheap relative to SUPER)
- Roll Z-Score (4h): -0.40
- Correlation: 0.66 (1h)
- Cointegration: True (1h, 4h)
- Hedge Ratio (4h): 2.15 (Short 2.15 units of SUPER for every 1 unit of BERA)
Remark
This setup presents a classic conflict between mean-reversion and fundamental sentiment.
- Quant Perspective: The negative z-score (-1.21 on 1h) suggests BERA is currently undervalued relative to its historical relationship with SUPER, signaling a potential mean-reversion opportunity to Long BERA / Short SUPER.
- Sentiment Perspective: The trade runs directly into a sentiment headwind. BERA is currently facing bearish pressure due to skepticism surrounding the PoL Next hard fork and declining TVL, while SUPER is seeing bullish sentiment driven by institutional interest in its tokenized asset utility.
Conclusion: While the statistical spread is stretched, the fundamental divergence is significant. This is a high-risk mean-reversion play; the trade relies on the statistical relationship holding despite the current bearish narrative surrounding BERA. If you proceed, monitor the 1h z-score closely for further divergence, as the current sentiment suggests the "cheap" asset (BERA) may have further room to underperform.
BERA
SUPER