longbridge-correlation

Original：🇺🇸 English

Translated

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".

2installs

Sourcelongbridge/skills

Added on2026-05-13

NPX Install

npx skill4agent add longbridge/skills longbridge-correlation

SKILL.md Content

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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

For each symbol, fetch 252 daily candles:

longbridge kline <SYMBOL> --period day --count 252 --format json

Align all series on
```
time
```
; drop dates missing in any series.
Compute daily log-returns for each symbol.
Pearson correlation matrix: pairwise Pearson correlation of returns; flag pairs with |ρ| > 0.8 (high) or < 0.2 (low).
Spearman correlation (rank-based, robust to outliers): compute alongside Pearson for comparison.
Rolling 60-day correlation for the highest-correlated pair: show trend over time.
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}
Output correlation matrix heatmap description (text-based) and a summary of key relationships.

Run

longbridge kline --help

to confirm current flag names.

CLI

bash

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

Use

mcp__longbridge__candlesticks

with

period=Day

,

count=252

per symbol when CLI is unavailable.

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

longbridge-correlation

NPX Install

Tags

SKILL.md Content

longbridge-correlation

When to use

Workflow

CLI

Output

Error handling

MCP fallback

Related skills

File layout