Correlation: 0.61 · Cointegrated: yes
Z-score: 1.78 entry / 0.35 rolling
Half-life 1.0h · Hurst 0.87 · Hedge ratio 1.41
Pair volatility: 37.09%
Backtest: 72.73% win · Sharpe 5.06 · 2.45% return · 0.81% max drawdown
Pair Analysis: Long TSM / Short TER
- Roll Z-Score: 1.88 (1h) / 1.91 (4h)
- Correlation: 0.61 (1h) / 0.67 (4h)
- Hedge Ratio: 0.853 (sizing weight: 46% TSM / 54% TER)
- Half-Life: ~24h (1h) / ~6h (4h)
Analysis:
- Mean Reversion: The pair is currently trading at a significant divergence, with a roll z-score near +1.9. This indicates that TER is statistically "rich" relative to TSM based on historical spread behavior.
- Directional Alignment: Your stated direction (Long TSM / Short TER) is aligned with the quant-optimal mean-reversion signal, which suggests selling the relatively expensive leg (TER) and buying the relatively cheap leg (TSM).
- Execution Note: TSM is listed on the
xyz deployer and TER on the para deployer. These are separate collateral pools; ensure you have sufficient USDC collateral available on both deployers to support the position.
- Sentiment: No specific sentiment data is currently available for these assets. Monitor semiconductor sector news, as TSM's foundry dominance and TER's testing equipment exposure often react differently to broader supply chain and capex cycles.
TSM
TER