Agent Skills
› HKUDS/Vibe-Trading
› pair-trading
pair-trading
GitHub基于均值回归原理，对两只高度相关资产的价格比率Z-score进行监控。当偏离超过阈值时执行反向开仓，回归均值时平仓。需严格配置两个标的及参数，适用于量化策略开发。
Trigger Scenarios
需要构建配对交易策略
实现基于Z-score的均值回归信号生成
配置双资产对冲组合
Install
npx skills add HKUDS/Vibe-Trading --skill pair-trading -g -y
SKILL.md
Frontmatter
{
"name": "pair-trading",
"category": "strategy",
"description": "Pair trading strategy. Trades mean reversion using the spread\/ratio Z-score of two correlated instruments. Requires at least two instruments."
}
Pair Trading Strategy
Purpose
Select two highly correlated instruments (such as stocks from the same industry or BTC/ETH), monitor how far their price ratio (or spread) deviates from the mean, and trade against extreme deviations while waiting for mean reversion.
Signal Logic
- Compute the price ratio:
ratio = close_A / close_B - Rolling mean and standard deviation:
mean = ratio.rolling(lookback).mean(),std = ratio.rolling(lookback).std() - Z-score:
z = (ratio - mean) / std - Signal generation:
- Z < -entry_z → long A, short B (ratio is too low, expected to revert)
- Z > +entry_z → short A, long B (ratio is too high, expected to revert)
- |Z| < exit_z → close the position (reverted back near the mean)
Implementation Notes
- Pair trading requires exactly two instruments (
codesarray length = 2) - The first instrument is A (
leg1), and the second is B (leg2) - Signals for A and B are opposite: when A is long, B is short, and vice versa
- Equal-weight allocation only: A and B each take 50% of capital, with no precise hedge-ratio calculation
Parameters
| Parameter | Default | Description |
|---|---|---|
| lookback | 60 | Lookback window for mean and standard deviation |
| entry_z | 2.0 | Entry Z-score threshold |
| exit_z | 0.5 | Exit Z-score threshold |
Example config.json
{
"source": "tushare",
"codes": ["601318.SH", "601628.SH"],
"start_date": "2023-01-01",
"end_date": "2024-12-31",
"initial_cash": 1000000,
"commission": 0.001,
"extra_fields": null
}
Cryptocurrency version:
{
"source": "okx",
"codes": ["BTC-USDT", "ETH-USDT"],
"start_date": "2024-01-01",
"end_date": "2024-12-31",
"initial_cash": 1000000,
"commission": 0.001,
"extra_fields": null
}
Common Pitfalls
codesmust contain exactly 2 instruments, no more and no less- The date indexes of the two instruments must be aligned (use an inner join), otherwise the ratio calculation will be wrong
- Before the lookback window is filled, Z-scores are
NaN, so fill signals with 0 - Do not generate same-direction signals for both A and B; pair trading is fundamentally a long-short hedge
Dependencies
pip install pandas numpy
Signal Convention
- Instrument A:
0.5= long,-0.5= short,0= flat - Instrument B: direction is opposite to A
Version History
- 0aa45a9 Current 2026-07-24 17:47
