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On Sept. 26, 2025,
(TSM) closed down 1.19% as its $2.88 billion trading volume ranked it 23rd in market activity. The decline came amid mixed signals from the semiconductor sector, with investors recalibrating positions ahead of key earnings reports and macroeconomic data releases in the coming week.Analysts noted that the stock's underperformance aligned with broader tech sector volatility, though no company-specific news directly triggered the move. Institutional investors appeared to prioritize liquidity management in the final days of the quarter, with reduced short-term momentum observed in related ETF holdings. Market participants are now turning attention to upcoming U.S.-China trade discussions, which could influence long-term capital allocation decisions in the global chip manufacturing ecosystem.
To run this back-test rigorously I need to pin down a few practical details: 1. Universe • Should we scan all U.S. listed common stocks each day, or confine the search to a subset (e.g., S&P 500 constituents)? 2. Execution price • Enter at today’s close and exit at tomorrow’s close (common practice for volume strategies), or use open-to-open? 3. Weighting • Equal weight across the 500 names, or volume-weighted / cap-weighted? 4. Trading frictions • Any commission or slippage assumptions to include? Once these items are fixed I can build the data-gathering plan and run the back-test for 2022-01-03 through 2025-09-26.
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