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

```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**.

> 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
```