opencode-skills-collection 4.0.68 → 4.0.70

package/bundled-skills/longbridge-quant/references/factor-research.md

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+# longbridge-factor-research
+
+A systematic framework for testing whether a quantitative factor adds predictive value for future returns — covering IC analysis, information ratio, decile portfolio construction, and factor decay.
+
+## Workflow
+
+### Step 1 — Define the factor
+
+Clarify with the user:
+
+- Factor name and calculation (e.g. trailing-12M PE, 1M price momentum, ROE YoY change).
+- Universe: index constituent (e.g. CSI 300, HSI, S&P 500) or custom list.
+- Test period (e.g. 2020-01-01 to 2024-12-31).
+- Holding period (e.g. monthly rebalance).
+
+### Step 2 — Fetch universe constituents
+
+```bash
+longbridge constituent --help
+longbridge constituent <INDEX> --format json
+```
+
+Extract the `stocks` array. Common indices: `000300.SH` (CSI 300), `HSI.HK`, `SPX.US`.
+
+### Step 3 — Fetch factor values and returns
+
+For each symbol in the universe:
+
+```bash
+longbridge calc-index <SYMBOL> --format json   # valuation, growth metrics
+longbridge kline <SYMBOL> --period day --count 252 --format json   # price history for returns
+```
+
+Run `--help` on each command to verify available fields before parsing.
+
+### Step 4 — Compute IC at each rebalance date
+
+`IC_t = rank_correlation(factor_value_t, forward_return_t+h)`
+
+Where `h` = holding period. Use Spearman rank correlation (robust to outliers). Winsorize factor values at 1%/99% before ranking.
+
+### Step 5 — Summary statistics
+
+| Metric                 | Formula                   | Good signal threshold |
+| ---------------------- | ------------------------- | --------------------- |
+| Mean IC                | Average of IC time series | > 0.03 (positive)     |
+| IC Std Dev             | Standard deviation of IC  | Lower is better       |
+| IR (Information Ratio) | Mean IC / Std Dev IC      | > 0.5 is promising    |
+| IC > 0 hit rate        | % of periods IC > 0       | > 55%                 |
+| ICIR (annualised)      | IR × √(periods per year)  | > 1.0 strong          |
+
+### Step 6 — Decile portfolio backtest
+
+1. At each rebalance date, sort universe into 10 deciles by factor value.
+2. Track equal-weighted returns for each decile over the holding period.
+3. Key output: decile 1 vs decile 10 spread (long-short portfolio return).
+4. Compute cumulative return, Sharpe ratio, and max drawdown for the long-short portfolio.
+
+### Step 7 — IC decay analysis
+
+Compute IC for multiple forward horizons (1M, 2M, 3M, 6M, 12M). Plot IC vs horizon. Fast decay = short-term factor; slow decay = longer-term signal.
+
+Serial autocorrelation of IC series: `autocorr(IC, lag=1)`. High autocorrelation → smoother signal, lower trading cost.
+
+## CLI
+
+```bash
+longbridge constituent --help
+longbridge calc-index --help
+longbridge kline --help
+
+longbridge constituent <INDEX> --format json
+longbridge calc-index <SYMBOL> --format json
+longbridge kline <SYMBOL> --period day --count 252 --format json
+```
+
+## Output
+
+Present:
+
+1. Factor definition and universe summary.
+2. IC time series chart (describe in text if no chart tool).
+3. Summary statistics table (Mean IC, IC Std Dev, IR, hit rate).
+4. Decile return bar chart description (decile 1 to 10 cumulative return).
+5. IC decay table across horizons.
+6. Interpretation: is the factor effective? Recommended holding period?
+
+## Error handling
+
+| Situation                       | 简体回复                                               | 繁體回覆                                         | English reply                                                             |
+| ------------------------------- | ------------------------------------------------------ | ------------------------------------------------ | ------------------------------------------------------------------------- |
+| `command not found: longbridge` | 请安装 longbridge-terminal 或检查 MCP 配置。           | 請安裝 longbridge-terminal 或檢查 MCP 配置。     | Install longbridge-terminal or check MCP config.                          |
+| stderr: `not logged in`         | 请运行 `longbridge auth login`。                       | 請執行 `longbridge auth login`。                 | Run `longbridge auth login`.                                              |
+| Index not found                 | 请检查指数代码格式，如 000300.SH / HSI.HK / SPX.US。   | 請確認指數代碼，如 000300.SH / HSI.HK / SPX.US。 | Check index ticker format, e.g. 000300.SH / HSI.HK / SPX.US.              |
+| Insufficient history            | 该标的历史数据不足以进行回测，请缩短测试期或更换标的。 | 歷史數據不足，請縮短測試期或更換標的。           | Insufficient price history; shorten the test period or change the symbol. |

package/bundled-skills/longbridge-quant/references/factor-screen.md

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+# longbridge-factor-screen
+
+Fundamental multi-factor screener. Applies user-defined thresholds across PE, PB, ROE, revenue growth, profit growth, and dividend yield to filter a candidate list and rank survivors by composite score.
+
+## Supported factors
+
+| Factor         | 简体         | 繁體         | Source CLI                        |
+| -------------- | ------------ | ------------ | --------------------------------- |
+| PE (TTM)       | 市盈率       | 市盈率       | `calc-index` or `valuation`       |
+| PB             | 市净率       | 市淨率       | `calc-index` or `valuation`       |
+| PS             | 市销率       | 市銷率       | `calc-index` or `valuation`       |
+| ROE            | 净资产收益率 | 淨資產收益率 | `operating` or `financial-report` |
+| Revenue YoY    | 营收增速     | 營收增速     | `operating` or `financial-report` |
+| Net profit YoY | 净利润增速   | 淨利潤增速   | `operating` or `financial-report` |
+| Dividend yield | 股息率       | 股息率       | `dividend` or `calc-index`        |
+
+## Workflow
+
+1. **Collect screening criteria** — ask the user if not given. Example defaults:
+   - Value screen: PE < 20, PB < 2, ROE > 12%, dividend yield > 2%
+   - Growth screen: revenue YoY > 20%, net profit YoY > 20%, PE < 40
+2. **Obtain a candidate universe**. Options (ask user):
+   - User provides a list of symbols.
+   - Use an index as universe (route to `longbridge-constituent` first):
+     ```bash
+     longbridge constituent 000300.SH --format json   # run --help for available flags
+     ```
+3. **Discover exact CLI flags** before calling:
+   ```bash
+   longbridge calc-index --help
+   longbridge operating --help
+   longbridge valuation --help
+   longbridge dividend --help
+   ```
+4. **Batch-query each candidate** (call concurrently where possible):
+   ```bash
+   longbridge calc-index <SYMBOL> --format json
+   longbridge operating <SYMBOL> --format json
+   longbridge dividend <SYMBOL> --format json
+   ```
+5. **Filter in-context**: discard symbols that fail any hard threshold.
+6. **Score survivors**: normalise each factor to 0–1 range within the passing set; compute weighted composite score. Default weights: ROE 25%, revenue YoY 20%, PE 20%, PB 15%, dividend yield 10%, net profit YoY 10%.
+7. **Output** the candidate table sorted by composite score descending (see Output section). Cite Longbridge Securities.
+
+## CLI
+
+```bash
+# Step 0: discover flags
+longbridge calc-index --help
+longbridge operating --help
+longbridge valuation --help
+longbridge dividend --help
+
+# Step 1: get universe (if using an index)
+# NOTE: JSON response uses key "stocks" (not "list") — extract symbols from data["stocks"]
+longbridge constituent 000300.SH --format json   # run --help for available flags
+
+# Step 2: per-symbol data (repeat for each candidate)
+longbridge calc-index 600519.SH --format json      # PE, PB, PS, dividend yield
+# NOTE: `operating` returns data for HK stocks only; for US/A-share use financial-report instead
+longbridge operating 700.HK --format json          # ROE, revenue/profit growth (HK only)
+longbridge financial-report AAPL.US --format json  # US/A-share fallback; run --help for flags
+longbridge dividend 600519.SH --format json        # dividend history
+```
+
+## Output
+
+```
+Factor Screen Results — Source: Longbridge Securities
+Criteria: PE < 20, ROE > 15%, Revenue YoY > 10%
+Universe: CSI 300 (300 stocks checked)  |  Passed: N
+
+Rank | Symbol       | Name    | PE   | PB  | ROE   | Rev YoY | NP YoY | Div Yield | Score
+-----|-------------|---------|------|-----|-------|---------|--------|-----------|------
+  1  | 600519.SH   | Maotai  | 28.1 | 9.5 | 31.2% | +18.4%  | +15.7% | 2.1%      | 0.87
+  2  | 601318.SH   | Ping An | 8.2  | 1.2 | 14.8% | +12.1%  | +10.3% | 4.5%      | 0.79
+ ...
+
+Notes:
+- Score = weighted composite (ROE 25%, Rev YoY 20%, PE 20%, PB 15%, Div 10%, NP YoY 10%)
+- PE and PB: lower is better (inverted for scoring); ROE / growth / yield: higher is better
+- N/A fields excluded from score denominator
+
+⚠️ 数据仅供参考，不构成投资建议。/ 數據僅供參考，不構成投資建議。/ For reference only. Not investment advice.
+```
+
+## Limitations
+
+- Screening is applied to a **user-supplied list or index constituents** — this is not a real-time full-market screener.
+- Data is point-in-time from the last available report; forward-looking factors require analyst consensus (`longbridge-fundamental`).
+- If the candidate list exceeds ~30 symbols, process in batches and note that partial results are shown.
+
+## Error handling
+
+| Situation                       | 简体                                         | 繁體                                         | English                                                               |
+| ------------------------------- | -------------------------------------------- | -------------------------------------------- | --------------------------------------------------------------------- |
+| `command not found: longbridge` | 回退到 MCP；否则告知安装 longbridge-terminal | 回退到 MCP；否則告知安裝 longbridge-terminal | Fall back to MCP; otherwise tell user to install longbridge-terminal. |
+| stderr `not logged in`          | 请运行 `longbridge auth login`               | 請執行 `longbridge auth login`               | Run `longbridge auth login`.                                          |
+| `calc-index` returns empty      | 该标的无估值数据，跳过或标注 N/A             | 該標的無估值數據，跳過或標注 N/A             | No valuation data; skip or mark N/A.                                  |
+| Candidate list > 30 symbols     | 提示分批处理，优先处理前 30                  | 提示分批處理，優先處理前 30                  | Process in batches of 30; note partial coverage.                      |
+| Other stderr                    | 原文显示错误                                 | 原文顯示錯誤                                 | Surface verbatim.                                                     |

package/bundled-skills/longbridge-quant/references/hedging.md

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+# longbridge-hedging
+
+Design and evaluate hedging strategies for a portfolio or single position using Longbridge market data — from simple Beta hedges to options-based protection and cross-asset tail-risk hedges.
+
+## Workflow
+
+### Step 1 — Identify hedge objective
+
+Clarify with the user:
+
+- What is being hedged: single position, portfolio, or sector exposure?
+- Risk to hedge: market Beta, tail event, currency, or volatility?
+- Hedge horizon: days, weeks, or months?
+- Cost tolerance: zero-cost (collar) or willing to pay premium?
+
+### Step 2 — Fetch data
+
+```bash
+longbridge kline --help
+longbridge option --help
+
+# Beta calculation (60-day daily returns)
+longbridge kline <SYMBOL> --period day --count 60 --format json
+
+# Option chain for hedge instruments
+longbridge option chain <SYMBOL> --format json
+
+# Current portfolio positions (requires login with trade scope)
+longbridge positions --format json
+```
+
+### Step 3 — Beta hedge
+
+**Portfolio Beta**:
+
+```
+β_portfolio = Σ(w_i × β_i)
+```
+
+Compute individual Beta for each holding from 60-day returns vs benchmark (SPX / HSI / CSI300). Fetch benchmark kline with `longbridge kline <BENCHMARK> --period day --count 60 --format json`.
+
+**Hedge ratio (index futures or inverse ETF)**:
+
+```
+Contracts needed = (Portfolio Value × β_portfolio) / (Futures Price × Contract Multiplier)
+```
+
+Present: number of contracts, hedge cost, and residual Beta after hedge.
+
+### Step 4 — Options-based protection
+
+**Protective Put** (保护性看跌期权介绍):
+
+- 原理：持有正股的同时持有看跌期权；当标的价格下跌时，期权价值上升，可对冲下行风险。常见做法是选择平值（ATM）或略虚值（OTM）的看跌期权。
+- Cost = put premium; protection kicks in below strike.
+- Effective floor = Strike − Premium paid.
+- 具体期权合约是否适用，请根据自身持仓情况和风险偏好独立判断。
+- Fetch available strikes: `longbridge option chain <SYMBOL> --format json`.
+
+**Collar Strategy** (zero-cost or near-zero):
+
+- Buy OTM put (downside protection) + sell OTM call (cap upside).
+- Net premium ≈ 0 if call premium offsets put premium.
+- Present: put strike, call strike, net cost, max gain, max loss.
+
+**Selection criteria**:
+| Criterion | Protective Put | Collar |
+|---|---|---|
+| Upside retention | Full | Capped at call strike |
+| Cost | Premium paid | Near zero |
+| Best for | Bullish with hedge need | Neutral/mild bearish |
+
+### Step 5 — Tail risk hedges
+
+| Tool                     | Instrument            | Mechanism                          |
+| ------------------------ | --------------------- | ---------------------------------- |
+| VIX calls                | UVXY.US / VIX options | Profit from volatility spike       |
+| Gold                     | GLD.US / 518880.SH    | Safe-haven in risk-off             |
+| Long-dated US Treasuries | TLT.US                | Negative correlation with equities |
+| Put on index             | SPY puts / HSI puts   | Direct market hedge                |
+
+Note: fetch current price and recent kline for any hedge instrument before recommending.
+
+### Step 6 — Currency hedge
+
+For HK/US cross-currency portfolios:
+
+- USD/HKD is pegged — minimal FX risk.
+- CNY exposure: use offshore RMB (CNH) forwards or futures.
+- Non-HKD Asian exposure: fetch FX rate via `longbridge fx --format json` (verify flag with `--help`).
+
+Present notional hedge amount, instrument, tenor, and estimated cost.
+
+### Step 7 — Hedge cost assessment
+
+```
+Cost efficiency = Protection value / Premium paid
+```
+
+Present: premium as % of protected notional, breakeven move, and expected cost per 1% of downside protection.
+
+## CLI
+
+```bash
+longbridge kline --help
+longbridge option --help
+longbridge positions --help
+
+longbridge kline <SYMBOL> --period day --count 60 --format json
+longbridge option chain <SYMBOL> --format json
+longbridge positions --format json
+```
+
+## Output
+
+Present:
+
+1. Hedge objective summary.
+2. Recommended strategy with rationale.
+3. Implementation details (strikes, contracts, premium).
+4. Cost vs protection table.
+5. Scenarios: portfolio value if market falls 10% / 20% with and without hedge.
+6. Caveats (basis risk, early exercise for American options, liquidity).
+
+Always note: hedging reduces risk but also limits upside.
+
+> 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. Please make investment decisions independently based on your own risk tolerance.
+
+## Error handling
+
+| Situation                       | 简体回复                                                  | 繁體回覆                                                  | English reply                                                      |
+| ------------------------------- | --------------------------------------------------------- | --------------------------------------------------------- | ------------------------------------------------------------------ |
+| `command not found: longbridge` | 请安装 longbridge-terminal 或检查 MCP 配置。              | 請安裝 longbridge-terminal 或檢查 MCP 配置。              | Install longbridge-terminal or check MCP config.                   |
+| stderr: `not logged in`         | 请运行 `longbridge auth login`（需 Trade 权限查看持仓）。 | 請執行 `longbridge auth login`（需 Trade 權限查看持倉）。 | Run `longbridge auth login` (Trade scope needed for positions).    |
+| No option chain data            | 该标的无期权数据，请尝试对应指数期权或 ETF 期权。         | 該標的無期權數據，請嘗試指數或 ETF 期權。                 | No option chain for this symbol; try index or ETF options instead. |
+| Negative or missing Beta        | Beta 数据不足，将使用市值加权 Beta=1 作为默认值。         | Beta 數據不足，使用 Beta=1 作為默認值。                   | Insufficient Beta data; defaulting to Beta = 1.                    |

package/bundled-skills/longbridge-quant/references/ml-strategy.md

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+# longbridge-ml-strategy
+
+Walk-forward machine-learning framework for stock direction prediction. Fetches historical OHLCV data, engineers technical features, trains a rolling classifier (Random Forest or Gradient Boosting), generates probabilistic buy/sell signals, and evaluates backtest performance.
+
+## Dependencies
+
+Requires: `scikit-learn`, `pandas`, `numpy` (usually pre-installed).
+Optional: `xgboost` or `lightgbm` for gradient-boosting models.
+If unavailable, fall back to a simpler logistic-regression model.
+
+## Workflow
+
+1. Fetch 504 daily candles (≈ 2 years):
+   `longbridge kline <SYMBOL> --period day --count 504 --format json`
+
+2. **Feature engineering** (compute on rolling windows):
+   - MACD line and signal (EMA12 − EMA26, signal EMA9)
+   - RSI-14
+   - Bollinger Band width: (upper − lower) / mid, window 20
+   - Volume change rate: (vol*t − vol*{t-5}) / vol\_{t-5}
+   - 5-day price momentum: (close*t / close*{t-5}) − 1
+   - Label: 1 if close\_{t+5} > close_t × 1.01, 0 if < close_t × 0.99, else drop
+
+3. **Walk-forward training**:
+   - Training window: 252 days; retrain every 60 days
+   - Model: `RandomForestClassifier(n_estimators=100)` or `GradientBoostingClassifier`
+   - Predict probability for the current bar
+
+4. **Signal generation**:
+   - prob > 0.60 → 模型上涨概率偏高 / Model upside probability elevated
+   - prob < 0.40 → 模型下跌概率偏高 / Model downside probability elevated
+   - Otherwise → 模型无方向性预测 / No directional signal from model
+
+5. **Backtest metrics** (on out-of-sample predictions):
+   - Win rate (% correct directional calls)
+   - Profit factor (gross profit / gross loss)
+   - Annualised Sharpe ratio (assuming daily rebalance)
+   - Max drawdown
+
+6. **Feature importance**: rank top-5 features by mean decrease in impurity.
+
+Run `longbridge kline --help` to confirm flag names before calling.
+
+## CLI
+
+```bash
+longbridge kline --help
+
+longbridge kline <SYMBOL> --period day --count 504 --format json
+```
+
+## Output
+
+| Metric             | 简体     | 繁體     | English            |
+| ------------------ | -------- | -------- | ------------------ |
+| Current signal     | 当前信号 | 當前訊號 | Current signal     |
+| Signal probability | 预测概率 | 預測概率 | Signal probability |
+| Win rate           | 胜率     | 勝率     | Win rate           |
+| Profit factor      | 盈亏比   | 盈虧比   | Profit factor      |
+| Sharpe ratio       | 夏普比率 | 夏普比率 | Sharpe ratio       |
+| Max drawdown       | 最大回撤 | 最大回撤 | Max drawdown       |
+| Top features       | 重要特征 | 重要特徵 | Top features       |
+
+Output: current signal box → backtest summary table → feature importance list → caveats (past performance, data snooping). 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`                     |
+| `scikit-learn` not found         | 提示 `pip install scikit-learn pandas numpy`，并改用逻辑回归降级 | 提示安裝，降級至邏輯回歸                  | Prompt install; degrade to logistic regression  |
+| Fewer than 252 candles           | 数据不足，无法完成 walk-forward 训练                             | 數據不足                                  | Insufficient data for walk-forward              |
+| Other stderr                     | 直接显示原始错误                                                 | 直接顯示原始錯誤                          | Surface verbatim                                |

package/bundled-skills/longbridge-quant/references/multifactor.md

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+# longbridge-multifactor
+
+Cross-sectional multi-factor quantitative stock selection. Scores a universe of stocks on value, momentum, quality, and low-volatility factors; composites the scores; ranks stocks; and outputs a TopN buy list and bottom-N short list with factor-level attribution.
+
+## Workflow
+
+1. **Get universe**: fetch index constituents:
+   `longbridge constituent <INDEX> --format json`
+   Extract the `stocks` key. If the user provides a custom list, skip this step.
+
+2. **Fetch valuation factors** for each symbol (batched, up to 20 stocks for manageable output):
+   `longbridge calc-index <SYMBOL> --format json`
+   Extract PE, PB, ROE. Value factors: `f_value = 0.5 × (1/PE) + 0.5 × (1/PB)` (normalised).
+
+3. **Fetch price history** for momentum and low-vol:
+   `longbridge kline <SYMBOL> --period day --count 60 --format json`
+   - Momentum: (close_today / close_60d_ago) − 1
+   - Low-volatility: annualised std of last 60 daily returns × √252 (negate: lower HV → higher score)
+
+4. **Standardise** each factor across the universe to Z-scores (subtract mean, divide by std).
+
+5. **Composite score**:
+   - Equal-weight: `score = 0.25 × Z_value + 0.25 × Z_momentum + 0.25 × Z_quality + 0.25 × Z_lowvol`
+   - IC-weighted (if the user specifies): weight each factor by its historical IC (information coefficient); if IC data unavailable, default to equal-weight.
+
+6. **Rank and output**:
+   - Top 20%: buy / long signal
+   - Bottom 20%: avoid / short signal
+   - Display top-10 and bottom-10 stocks with individual factor Z-scores and composite score.
+
+Run `longbridge constituent --help`, `longbridge calc-index --help`, and `longbridge kline --help` to verify current flag names.
+
+## CLI
+
+```bash
+longbridge constituent --help
+longbridge calc-index --help
+longbridge kline --help
+
+longbridge constituent <INDEX>  --format json
+longbridge calc-index <SYMBOL>  --format json
+longbridge kline <SYMBOL> --period day --count 60 --format json
+```
+
+Supported index examples: `HSI.HK`, `SPX.US`, `IXIC.US`, `DJI.US`, `000300.SH`.
+
+## Output
+
+| Column          | 简体            | 繁體            | English          |
+| --------------- | --------------- | --------------- | ---------------- |
+| Composite score | 综合得分        | 綜合得分        | Composite score  |
+| Value Z         | 价值因子 Z 值   | 價值因子 Z 值   | Value Z-score    |
+| Momentum Z      | 动量因子 Z 值   | 動量因子 Z 值   | Momentum Z-score |
+| Quality Z       | 质量因子 Z 值   | 質量因子 Z 值   | Quality Z-score  |
+| Low-vol Z       | 低波动因子 Z 值 | 低波動因子 Z 值 | Low-vol Z-score  |
+| Signal          | 信号            | 訊號            | Signal           |
+
+Output: top-10 / bottom-10 ranked table → factor dispersion summary → composite methodology note. Add caveat that the universe is limited by API throughput. 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`                     |
+| `calc-index` returns null PE/PB  | 跳过该标的，标注"数据缺失"                | 跳過該標的，標注"數據缺失"                | Skip symbol; mark as "data missing"             |
+| Universe > 50 stocks             | 自动截取前50只成交额最大的标的            | 自動截取前50只                            | Auto-limit to top-50 by turnover                |
+| Other stderr                     | 直接显示原始错误                          | 直接顯示原始錯誤                          | Surface verbatim                                |

package/bundled-skills/longbridge-quant/references/pairs-trading.md

@@ -0,0 +1,61 @@
+# 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.
+
+## 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                                |