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
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 datalongbridge-pairs-trading— execute a pairs trade after correlation pre-screenlongbridge-multifactor— factor correlation and collinearity checklongbridge-performance-attribution— covariance matrix for factor decomposition
File layout
longbridge-correlation/
└── SKILL.md