Correlation: 0.72 · Cointegrated: yes
Z-score: -0.85 entry / -2.13 rolling
Half-life 4.4h · Hurst 0.91 · Hedge ratio 1.24
Pair volatility: 33.37%
Backtest: 66.67% win · Sharpe 0.65 · 0.47% return · 2.27% max drawdown
Pair Analysis: STRK / TURBO
- Roll Z-Score (1h): -2.90
- Roll Z-Score (4h): -1.82
- Roll Z-Score (1d): -1.00
- Correlation: 0.72 (1h)
- Cointegration: True (1h)
- Hedge Weights (4h): 65.4% STRK / 34.6% TURBO
Remark
This setup is a classic relative-value mean reversion play. The negative z-scores across all timeframes indicate that STRK is currently "cheap" relative to TURBO. Your chosen direction (Long STRK / Short TURBO) aligns with the quant-optimal direction for the 1h and 4h timeframes, suggesting the spread has diverged significantly and is statistically primed to revert.
Sentiment Context: Both assets are currently facing bearish headwinds—STRK due to structural supply overhang and TURBO due to fading speculative interest. In this context, the trade is less about directional conviction and more about betting that TURBO will underperform STRK (or that STRK will recover faster) as the spread mean-reverts. Given the high 1h z-score (-2.90), the pair is extended; monitor for a potential snap-back if the spread tightens.
STRK
TURBO