Correlation: 0.68 · Cointegrated: yes
Z-score: -1.17 entry / -3.78 rolling
Half-life 0.9h · Hurst 0.88 · Hedge ratio 2.12
Pair volatility: 40.53%
Backtest: 70.00% win · Sharpe 3.41 · 1.12% return · 0.64% max drawdown
Pair Analysis: Long CRDO / Short TSM
- Roll Z-Score (1h): -3.53
- Roll Z-Score (4h): -3.06
- Correlation (1h): 0.68
- Half-Life (1h): 23h
- Hedge Ratio (1h): 2.15
Analysis:
- Mean Reversion: The pair is currently showing a strong mean-reversion signal. With a 1h z-score of -3.53, the spread (CRDO/TSM) is significantly below its historical mean, suggesting CRDO is statistically "cheap" relative to TSM.
- Setup: The trade is a classic mean-reversion play, betting on the spread to widen back toward the mean.
- Note: The 1h z-score is approximately 1.2 hours old; ensure you check current spot prices to confirm the spread hasn't already corrected significantly. The 1d z-score (-0.14) is near neutral, indicating this is a short-term tactical opportunity rather than a long-term structural divergence.
- Sentiment: No specific sentiment data is available for these assets.
CRDO
TSM