Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.61 · Cointegrated: yes
Z-score: 1.65 entry / 2.48 rolling
Half-life 1.3h · Hurst 0.90 · Hedge ratio 1.62
Pair volatility: 39.78%
Backtest: 68.75% win · Sharpe 4.19 · 2.57% return · 1.72% max drawdown
Pair: TSM / IREN
Statistical Analysis
- 1h Roll Z-Score: 2.48 (IREN rich vs TSM)
- 4h Roll Z-Score: 0.66
- 1d Roll Z-Score: -0.71
- Correlation: 0.61 (1h)
- Half-Life: 31h (1h timeframe)
Analysis Remark
The 1h roll z-score of 2.48 indicates a significant short-term divergence where IREN has become statistically "rich" relative to TSM. Your chosen direction (Long TSM / Short IREN) aligns with a mean-reversion play on this 1h signal. However, note that the 4h and 1d z-scores are significantly lower or negative, suggesting this is a localized, short-term volatility event rather than a long-term structural misalignment.
Sentiment Note: No specific sentiment data is currently available for TSM or IREN.
TSM
IREN