longbridge-pairs-trading

name	longbridge-pairs-trading
description	Pairs trading / statistical-arbitrage strategy via Longbridge Securities — tests cointegration between two correlated assets using the Engle-Granger (ADF) method, computes the optimal hedge ratio via OLS, calculates spread Z-score, half-life of mean reversion, and generates entry/exit signals (long spread when Z > 2, short spread when Z < -2, exit when |Z| < 0.5). Triggers: "配对交易", "统计套利", "协整", "价差交易", "对价交易", "双股套利", "配對交易", "統計套利", "協整", "價差交易", "pairs trading", "statistical arbitrage", "cointegration", "spread trading", "mean reversion pairs", "hedge ratio", "half-life", "ADF test", "Kalman filter", "Z-score spread", "spread mean reversion".
license	MIT
metadata	{"author":"longbridge","version":"1.0.0","risk_level":"read_only","requires_login":false,"default_install":true,"requires_mcp":false,"tier":"analysis"}

longbridge-pairs-trading

Statistical-arbitrage strategy for a pair of correlated securities. Tests for cointegration, estimates hedge ratio, computes spread Z-score, and outputs actionable long/short signals with half-life and position sizing guidance.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

• User provides two ticker symbols and asks for pairs trading analysis, spread mean-reversion, cointegration test, or statistical arbitrage.
• Triggers: "MSFT 和 GOOGL 配对交易", "HSBC vs StanChart 协整", "pairs trade AAPL MSFT", "价差均值回归".

Workflow

1. Fetch 252 daily candles for each symbol:

   longbridge kline <SYMBOL_A> --period day --count 252 --format json
   longbridge kline <SYMBOL_B> --period day --count 252 --format json
   

2. Align on time, drop unmatched rows (different trading calendars).
3. Cointegration test (Engle-Granger):
   • OLS regress ln(close_A) on ln(close_B) → hedge ratio β
   • Compute residuals (spread) = ln(close_A) − β × ln(close_B)
   • Run ADF test on residuals; if p-value < 0.05, declare cointegrated
4. Spread statistics:
   • Spread mean μ, std σ
   • Z-score = (spread_current − μ) / σ
   • Half-life λ = −ln(2) / OLS_slope of Δspread ~ spread_{t-1} (AR(1))
5. Signal:
   • Z > 2.0: 价差处于历史高位区间（统计上偏离均值偏大）/ Spread at historical high (statistically elevated)
   • Z < −2.0: 价差处于历史低位区间（统计上偏离均值偏小）/ Spread at historical low (statistically depressed)
   • |Z| < 0.5: 价差回归均值区间 / Spread near historical mean
6. Position sizing: suggest equal-dollar or volatility-scaled sizing; note that execution must be simultaneous.

Run longbridge kline --help to confirm current flag names before calling.

CLI

longbridge kline --help

longbridge kline <SYMBOL_A> --period day --count 252 --format json
longbridge kline <SYMBOL_B> --period day --count 252 --format json

Output

Metric	简体	繁體	English
Hedge ratio β	对冲比率	對沖比率	Hedge ratio
Cointegration p-value	协整 p 值	協整 p 值	Cointegration p-value
Spread Z-score	价差 Z 分	價差 Z 分	Spread Z-score
Half-life	半衰期（天）	半衰期（天）	Half-life (days)
Signal	交易信号	交易訊號	Trade signal

Output: cointegration verdict → spread statistics table → current signal → position guidance. Add a risk note if p-value > 0.05 (not cointegrated). Cite Longbridge Securities / 数据来源：长桥证券 / 數據來源：長橋證券.

以上内容仅供参考，不构成投资建议。投资决策请结合自身风险承受能力独立判断。 The above is for reference only and does not constitute investment advice. Investment decisions should be made based on your own risk tolerance.

Error handling

Situation	简体回复	繁體回復	English reply
command not found: longbridge	回退到 MCP 或提示安装 longbridge-terminal	回退到 MCP 或提示安裝 longbridge-terminal	Fall back to MCP or install longbridge-terminal
not logged in / unauthorized	请运行 longbridge auth login	請執行 longbridge auth login	Run longbridge auth login
ADF p-value > 0.05	两标的未通过协整检验，配对交易风险较高	兩標的未通過協整檢驗，配對交易風險較高	Not cointegrated; pairs trade is high-risk
Insufficient overlapping dates	两标的历史数据重叠不足，无法建立配对	兩標的歷史數據重疊不足	Insufficient overlapping history
Other stderr	直接显示原始错误	直接顯示原始錯誤	Surface verbatim

MCP fallback

When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime.

Related skills

• longbridge-kline — raw OHLCV data
• longbridge-correlation — correlation matrix and rolling correlation as a pre-screen
• longbridge-volatility-strategy — vol context for spread width

File layout

longbridge-pairs-trading/
└── SKILL.md