Pair is strongly diverging away from the mean. High risk of further deviation.
Regime: STRONG_DIVERGENCE (low confidence)
Correlation: 0.72 · Cointegrated: yes
Z-score: -1.22 entry / -1.67 rolling
Half-life 0.9h · Hurst 0.84 · Hedge ratio 2.48
Pair volatility: 42.32%
Backtest: 63.64% win · Sharpe 3.60 · 1.30% return · 0.64% max drawdown
Pair Analysis: CRDO / TSM
- Roll Z-Score (1h): -1.67
- Roll Z-Score (4h): -0.69
- Correlation: 0.72 (1h)
- Cointegration: True (1h/4h)
- Hedge Ratio (4h): 2.38 (Short 2.38 units of TSM per 1 unit of CRDO)
Remark:
This setup is a classic mean-reversion play. The 1h Roll Z-Score of -1.67 indicates that the CRDO/TSM spread is currently statistically "cheap" (CRDO is oversold relative to TSM). The user-stated direction (Long CRDO / Short TSM) is aligned with the quant-optimal direction, suggesting the trade is positioned to capture a reversion to the mean as the spread widens back toward historical norms. With a 1h half-life of ~21 hours and strong cointegration on the shorter timeframes, the statistical edge is currently active. Note that the 1h z-score is ~1.3 hours old; verify recent price action to ensure the spread hasn't already begun its reversion.
CRDO
TSM