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A股配对交易分析 · aifinlab | DecimalAI

financeby aifinlab

A股配对交易分析

aifinlab/a-share-pairs-trading

Source aifinlab/finclaw ↗License Apache-2.0

A股配对交易/统计套利分析。当用户说"配对交易"、"pairs trading"、"统计套利"、"价差交易"、"XX和YY能配对吗"、"协整"、"spread"、"套利"时触发。基于 cn-stock-data 获取双标的K线数据，进行协整检验、价差分析、交易信号生成。支持研报风格（formal）和快速分析风格（brief）。

SkillScore74Maintained

Automatic

Finance & Accounting pack

Last verified 8/28/2026

What it changes

Passed 14 of 19 test cases with the skill, and 13 of 19 without it.

Without skill70%

With skill74%

Checks it passed that the model alone missed

Defines the log price ratio spread formula as ln(P1/P2).
Requires candidate stocks to share industry or concept classification.

2 fixed15 passed either way5 still failing1 broke

Pass-rate lift: +4 pp
Tokens: +16%
Agent turns: 0%
Response time: -15%

Model gemini-3.6-flashMeasured 8/28/2026v117 of 23 cases passed with skill · 19 comparable

Tokens, turns and time describe resource use, not a dollar price.

Use this skill

Save it into your project's skills folder. Claude Code picks it up in its next session.

curl -fsSL --create-dirs -o .claude/skills/aifinlab-a-share-pairs-trading/SKILL.md https://app.decimal.ai/s/aifinlab-a-share-pairs-trading/SKILL.md

Want it pinned and updatable? pip install "decimalai>=0.15", then decimalai skills add aifinlab-a-share-pairs-trading, and start Claude Code with claude --plugin-dir "$(git rev-parse --show-toplevel)/.agents"

1 · One-time — install the CLI (docs ↗)

pip install "decimalai>=0.15"

2 · Get the skill — writes .agents/skills/aifinlab-a-share-pairs-trading/ and pins it in .decimal/skills.lock

decimalai skills add aifinlab-a-share-pairs-trading

No CLI? Get the same file — curl · raw file

curl -fsSL --create-dirs -o .claude/skills/aifinlab-a-share-pairs-trading/SKILL.md https://app.decimal.ai/s/aifinlab-a-share-pairs-trading/SKILL.md

Raw file: /s/aifinlab-a-share-pairs-trading/SKILL.md ↗ · machine-readable summary at /s/aifinlab-a-share-pairs-trading.json ↗

Safety checks: 3 of 3 passed

Code scan CleanIntent PassedContent Clean

What's inside

The instructions your model reads when the skill loads.

SKILL.md75 lines3 filesincludes scripts

A股配对交易分析

数据源

SCRIPTS="$SKILLS_ROOT/cn-stock-data/scripts"
# 两只股票的K线
python "$SCRIPTS/cn_stock_data.py" kline --code [CODE1] --freq daily --start [日期]
python "$SCRIPTS/cn_stock_data.py" kline --code [CODE2] --freq daily --start [日期]
# 行情
python "$SCRIPTS/cn_stock_data.py" quote --code [CODE1],[CODE2]

量化计算：

QSCRIPTS="$SKILLS_ROOT/a-share-pairs-trading/scripts"
python "$QSCRIPTS/pairs_analyzer.py" --stock1 data1.json --stock2 data2.json --window 60

Workflow

Step 1: 选择配对标的

同行业/同概念板块优先（基本面相似性）
历史价格相关性 > 0.8 作为初筛条件

Step 2: 协整检验

ADF 检验两个价格序列的平稳性（应为 I(1)）
Engle-Granger 两步法：OLS 回归 → 残差 ADF 检验
p-value < 0.05 认为存在协整关系

Step 3: 价差序列构建

方法 A：对数价格比 ln(P1/P2)
方法 B：OLS 残差法 P1 - β×P2 - α
计算 Z-score = (spread - mean) / std

Step 4: 交易信号

开多价差：Z-score < -2（价差偏低）
开空价差：Z-score > +2（价差偏高）
平仓：Z-score 回归至 0 附近（±0.5）
止损：Z-score 超过 ±3

Track record

Benchmark

14 / 19

test cases passed, vs 13 / 19 without

Adoption

Users: 0
Times used: 0

Safety and source details

SkillSafety

✓ 3 of 3 passed

Code scan15 of 15 checks clean

0 critical · 0 warning · 0 info — scanner v8 — 10/22/2026

View 15 scanner checks

live_secretremote_code_executionreverse_shelldata_exfiltrationssrf_metadataagent_snoopinganti_refusaldestructive_commandsobfuscated_unicodeunicode_homoglyphopaque_blobsuspicious_urltool_overreachtrigger_abuseprompt_injection_phrasing

IntentSafe

LLM judge · does the skill do what it claims

ContentClean

LLM judge · policy & harmful-content review

Source

Imported

aifinlab / finclaw

skills/a-share-pairs-trading/SKILL.md

View on GitHub ↗

License Apache-2.0Imported 8/3/2026Version v1Bundled 2 files · scripts

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What's inside

A股配对交易分析

数据源

Workflow

Step 1: 选择配对标的

Step 2: 协整检验

Step 3: 价差序列构建

Step 4: 交易信号

Track record

Benchmark

Adoption

SkillSafety

Source

Other skills for the same job

Related skills