longbridge-correlation

name	longbridge-correlation
description	Multi-asset correlation and cointegration analysis via Longbridge Securities — computes Pearson / Spearman return correlation matrix for 2–10 symbols, rolling 60-day correlation, Engle-Granger cointegration (ADF unit root), and spread half-life (AR(1) estimate). Used for portfolio decorrelation and pairs-trading pre-screening. Triggers: "相关性", "协整", "相关系数", "相关矩阵", "滚动相关", "去相关", "多标的相关", "相關性", "協整", "相關係數", "相關矩陣", "滾動相關", "去相關", "correlation", "cointegration", "correlation matrix", "rolling correlation", "Pearson", "Spearman", "decorrelation", "multi-asset correlation", "ADF test", "相关分析", "相關分析", "pairwise correlation".
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-correlation

Computes pairwise return correlations and cointegration statistics for a basket of 2–10 symbols. Helps identify diversification opportunities, highly correlated pairs (pairs-trading candidates), and portfolio concentration risks.

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

When to use

• User supplies 2–10 symbols and asks for correlation analysis, whether two stocks move together, rolling correlation trends, or pairs-trading pre-screening.
• Triggers: "AAPL MSFT GOOGL 相关矩阵", "TSLA 和 NVDA 滚动相关", "correlation matrix for my watchlist", "协整检验 700.HK 5.HK".

Workflow

1. For each symbol, fetch 252 daily candles: longbridge kline <SYMBOL> --period day --count 252 --format json
2. Align all series on time; drop dates missing in any series.
3. Compute daily log-returns for each symbol.
4. Pearson correlation matrix: pairwise Pearson correlation of returns; flag pairs with |ρ| > 0.8 (high) or < 0.2 (low).
5. Spearman correlation (rank-based, robust to outliers): compute alongside Pearson for comparison.
6. Rolling 60-day correlation for the highest-correlated pair: show trend over time.
7. Cointegration screen (for pairs only):
   • OLS spread residuals → ADF test → report p-value and verdict
   • Half-life = −ln(2) / OLS slope of Δspread ~ spread_{t-1}
8. Output correlation matrix heatmap description (text-based) and a summary of key relationships.

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

CLI

longbridge kline --help

# Repeat for each symbol (2–10)
longbridge kline <SYMBOL> --period day --count 252 --format json

Output

Metric	简体	繁體	English
Pearson ρ matrix	皮尔森相关矩阵	皮爾森相關矩陣	Pearson correlation matrix
Spearman ρ	斯皮尔曼相关	斯皮爾曼相關	Spearman correlation
Rolling 60d corr	60日滚动相关	60日滾動相關	60-day rolling correlation
ADF p-value	协整 p 值	協整 p 值	ADF p-value
Half-life	半衰期（天）	半衰期（天）	Half-life (days)
Cluster	相关聚类	相關聚類	Correlation cluster

Present: (1) full correlation matrix table with colour coding (high ≥ 0.8 = red, low ≤ 0.2 = green); (2) rolling-correlation narrative; (3) cointegration results if relevant; (4) portfolio implication note. Cite Longbridge Securities / 数据来源：长桥证券 / 數據來源：長橋證券.

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
Only 1 symbol provided	至少需要2个标的才能计算相关性	至少需要2個標的	Need at least 2 symbols
> 10 symbols	最多支持10个标的，请精简列表	最多支持10個標的	Max 10 symbols; please reduce list
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-pairs-trading — execute a pairs trade after correlation pre-screen
• longbridge-multifactor — factor correlation and collinearity check
• longbridge-performance-attribution — covariance matrix for factor decomposition

File layout

longbridge-correlation/
└── SKILL.md