Cointegration Analysis
Apply Engle-Granger and Johansen cointegration tests to identify pairs trading opportunities.
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This skill applies Engle-Granger and Johansen cointegration tests to identify pairs trading opportunities. It calculates hedge ratios for cointegrated pairs and monitors spread mean reversion signals. Designed for quantitative traders, hedge fund analysts, and statistical arbitrage teams. From the AGIPro Labs claude-trading-skills collection. For educational and productivity use only. Always verify AI-generated outputs with a qualified professional before acting on them.
Compatible Agents
Claude CodeCursorCodexGemini CLI
Use Cases
- ✓Test for cointegration between asset pairs
- ✓Build statistical arbitrage pairs trading signals
- ✓Calculate hedge ratios for cointegrated pairs
- ✓Monitor spread mean reversion for trading
Trigger Phrases
“Test cointegration between assets”“Pairs trading analysis”“Engle-Granger cointegration test”“Statistical arbitrage signal”
How to Install
Copy the skill content, paste it into your AI agent's system prompt or project instructions, then describe your task.
Requirements
- Claude Code or Cursor
- Python 3.9+ with uv
- Historical price data for asset pairs