Pair is still diverging, but the momentum is slowing. A potential reversal candidate.
Regime: PEAK_DIVERGENCE (medium confidence)
Correlation: 0.70 · Cointegrated: yes
Z-score: -1.37 entry / -2.16 rolling
Half-life 0.9h · Hurst 0.84 · Hedge ratio 2.43
Pair volatility: 41.56%
Backtest: 63.64% win · Sharpe 3.64 · 1.25% return · 0.64% max drawdown
Pair Analysis: Long para:CRDO / Short xyz:TSM
- Roll Z-Score (1h): -2.16 (Snapshot age: 1.3h)
- Roll Z-Score (4h): 0.02 (Snapshot age: 6.3h)
- Correlation: 0.70 (1h)
- Half-Life: 22h (1h timeframe)
- Hedge Ratio (4h): 2.354 (Sizing: 29.8% Long / 70.2% Short)
Analysis:
- Mean Reversion: The 1h Roll Z-Score of -2.16 indicates that CRDO is currently statistically "cheap" relative to TSM on a short-term basis. This suggests a potential mean-reversion opportunity where the spread could widen back toward the mean.
- Divergence: Note the significant discrepancy between the 1h (-2.16) and 4h (0.02) z-scores. The 1h signal is highly aggressive, while the 4h signal suggests the pair is currently near its historical mean. This indicates high short-term volatility in the spread.
- Execution: Both assets are available on Hyperliquid (
para:CRDO and xyz:TSM). Ensure you have the appropriate collateral (USDC) funded for both the para and xyz deployers, as these are separate collateral pools.
- Sentiment: No specific sentiment data is currently available for these assets.
Note: The 1h z-score is ~1.3 hours old; verify recent price action to ensure the divergence hasn't already corrected.
CRDO
TSM