longbridge-correlation

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

1. For each symbol, fetch 252 daily candles:

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

1. Align all series on time; drop dates missing in any series.
2. Compute daily log-returns for each symbol.
3. Pearson correlation matrix: pairwise Pearson correlation of returns; flag pairs with |ρ| > 0.8 (high) or < 0.2 (low).
4. Spearman correlation (rank-based, robust to outliers): compute alongside Pearson for comparison.
5. Rolling 60-day correlation for the highest-correlated pair: show trend over time.
6. Cointegration screen (for pairs only):
7. OLS spread residuals → ADF test → report p-value and verdict
8. Half-life = −ln(2) / OLS slope of Δspread ~ spread_{t-1}
9. 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 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