Correlation: 0.61 · Cointegrated: yes
Z-score: -1.74 entry / -0.01 rolling
Half-life 2.5h · Hurst 0.90 · Hedge ratio 0.36
Pair volatility: 40.45%
Backtest: 53.85% win · Sharpe -0.27 · -0.16% return · 1.76% max drawdown
Pair Analysis: TSM / WDC
- Roll Z-Score (1h): -1.25
- Roll Z-Score (4h): -0.68
- Roll Z-Score (1d): -1.40
- Correlation: 0.61 (1h) to 0.70 (1d)
- Hedge Weights (4h): 41.0% TSM / 59.0% WDC
Setup Remark:
The pair is currently showing a negative Z-score across all timeframes, indicating that the TSM/WDC spread is trading below its historical mean. A Long TSM / Short WDC position is a mean-reversion play betting on the spread widening back toward the mean. The 1d Z-score of -1.40 suggests the most significant deviation is on the longer timeframe, though the 1h snapshot is slightly less extreme (-1.25). With a moderate correlation (~0.6-0.7), the pair maintains a decent relationship, but the lack of cointegration suggests this is a tactical mean-reversion trade rather than a long-term structural hedge.
Note: Sentiment data is currently unavailable for these assets. Ensure you monitor broader semiconductor sector news, as both assets are highly sensitive to cyclical demand and supply chain updates.
TSM
WDC