新增 17 個 Skills 並完成全員技能配置
- 新增 17 個 SKILL.md(tradermonty + langalpha 來源): breadth-chart-analyst, catalyst-calendar, competitive-analysis, comps-analysis, dcf-model, earnings-analysis, earnings-preview, earnings-trade-analyzer, edge-concept-synthesizer, edge-hint-extractor, options-strategy-advisor, pair-trade-screener, pead-screener, portfolio-manager, sector-overview, stanley-druckenmiller-investment, theme-detector - 更新全部 11 個 Agent 的 AGENTS.md(含原本空白的 ceo 與 xiao-an) - 更新 docs/agent-skill-mapping.md 至 v3.0(71 個配置,62 個技能) - 台股 + 美股雙市場覆蓋,Skills 均基於真實開源 repo Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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name: 配對交易篩選器
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description: 統計套利技能,執行共整合檢定、計算利差 Z 值,產出市場中性配對交易的進出場建議,約 1100 行的量化套利技能
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metadata:
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sources:
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- kind: github-file
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repo: tradermonty/claude-trading-skills
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path: skills/pair-trade-screener/SKILL.md
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usage: referenced
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---
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# 配對交易篩選器
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量化統計套利工具,為回測工程師提供配對交易策略的研究與回測基礎。
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## 統計方法論
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### 共整合檢定(Cointegration Test)
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- Engle-Granger 兩步驟法
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- Johansen 共整合檢定
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- 確認長期均值回歸關係
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### 利差分析
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- 計算標準化利差(Z-Score)
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- 利差的歷史分布
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- 均值回歸速度(Half-Life)
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### 進出場訊號
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- 進場:Z-Score > ±2(標準差)
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- 離場:Z-Score 回歸至 0
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- 止損:Z-Score > ±3
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## 篩選範圍
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- 同板塊股票配對(最高共整合可能性)
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- ETF 配對(例:XLK vs QQQ)
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- 跨市場配對(台積電 vs 英特爾)
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## 輸出格式
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- 候選配對清單(含共整合 p 值、Half-Life)
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- 當前各配對的 Z-Score
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- 建議做多/做空方向
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- 歷史套利機會統計
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## 需要的 MCP 工具
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- `yfinance`:歷史價格數據
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- 需要 Python 環境(scipy、statsmodels)
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## 使用時機
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回測工程師開發市場中性策略;量化策略師尋找低相關性的附加收益來源
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