longbridge-pairs-trading

Original：🇺🇸 English

Translated

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".

2installs

Sourcelongbridge/skills

Added on2026-05-13

NPX Install

npx skill4agent add longbridge/skills longbridge-pairs-trading

SKILL.md Content

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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

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

Align on
```
time
```
, drop unmatched rows (different trading calendars).
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
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))
Signal:
- Z > 2.0: long spread (buy A, short B scaled by β)
- Z < −2.0: short spread (short A, buy B scaled by β)
- |Z| < 0.5: exit / neutral
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

bash

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.

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

Use

mcp__longbridge__candlesticks

with

period=Day

,

count=252

for each symbol when CLI is unavailable.

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

longbridge-pairs-trading

NPX Install

Tags

SKILL.md Content

longbridge-pairs-trading

When to use

Workflow

CLI

Output

Error handling

MCP fallback

Related skills

File layout