Pair is strongly diverging away from the mean. High risk of further deviation.
short spread · 5× leverage · regime STRONG_DIVERGENCE (low confidence)
Signal
| Metric | Value |
|---|
| Rolling z-score | 1.62 |
| Z-score | 1.75 at entry |
| Correlation | 0.62 · cointegrated |
| Half-life | 1.4h |
| Hurst | 0.88 |
| Hedge ratio | 0.85 · long-term beta 0.85 |
| Beta stability | stable · current 0.85 · range 0.12–3.11 · 0 sign changes |
| Lead–lag peak corr | 0.62 |
| Pair volatility | 36.83% |
| Momentum | z-velocity +1.18 · acceleration +1.30 · vol ratio 0.22 |
Backtest
| Metric | Value |
|---|
| Win rate | 75.00% — 9W / 3L over 12 trades |
| Sharpe | 4.96 |
| Total return | +2.65% |
| Max drawdown | 0.81% |
Pair Analysis: Long TSM / Short TER
- Roll Z-Score: 1.62 (1h) / 1.22 (4h)
- Interpretation: The spread (TER/TSM) is currently elevated (rich TER relative to TSM). The positive Z-score indicates the pair is trading at a statistical premium, supporting a mean-reversion trade (Long TSM / Short TER).
- Correlation: 0.62 (1h) / 0.68 (4h)
- Interpretation: Moderate correlation; the assets move together but with sufficient divergence to allow for spread-based trading.
- Half-Life: 33h (1h) / 9h (4h)
- Interpretation: The 4h half-life suggests a relatively quick mean-reversion cycle, though the 1h timeframe shows higher noise.
- Directional Alignment: The user's stated direction (Long TSM / Short TER) is quant-optimal based on the positive Z-score (selling the rich asset, buying the cheap one).
Notes:
- Sentiment/Price Data: No specific sentiment or live price data is available for these equities at this time.
- Execution: TSM is listed on the
xyz deployer (USDC collateral); TER is listed on the para deployer (USDC collateral). Ensure both legs are funded in their respective collateral pools if required by your account mode.
- Stat Staleness: The 1h Z-score snapshot is ~1.3 hours old. Given the volatility in semiconductor equities, verify current price action before entry.
TSM
TER