Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies

Yicheng Zhang

doi:10.47297/wspdecWSP2515-797316.20250907

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Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies

Volume 9, Issue 7

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Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies
Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies
College of Science, City University of Hong Kong, Hong Kong Special Administrative Region, 999077, China
Vol. 9, Issue 7, Pages: 81-88(2025)
Published：30 July 2025
DOI：10.47297/wspdecWSP2515-797316.20250907
Accepted：

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Zhang Yicheng.Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies[J].Development Economics of China,2025,09(07):81-88.
DOI：

Zhang Yicheng.Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies[J].Development Economics of China,2025,09(07):81-88. DOI： 10.47297/wspdecWSP2515-797316.20250907.

摘要

Abstract

This paper focuses on high-frequency trading scenarios. Aiming at the insufficient dynamic adaptability of traditional Bollinger Band indicators

it constructs an intelligent Bollinger Band strategy integrating volume and price characteristics

and conducts an empirical test using 5-minute high-frequency data of the CSI 300 and SSE as samples. The strategy improvements include: adopting dynamic standard deviation (integrating 5-period and 20-period standard deviations) to enhance sensitivity to market fluctuations

introducing a volume-price resonance indicator to capture volume-price synergy signals

and defining a core signal

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2.28600001

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2.53999996

to standardize the position of prices in the Bollinger Band channel. The empirical results show that the Z indicator passes the stationarity test in both indices. In the profitability analysis

the average returns of sell signals reach 0.0028% and 0.0058% respectively

which are better than unconditional trading and buy signals. This verifies the effectiveness of the intelligent Bollinger Band strategy in high-frequency trading and provides a practical reference for the optimization of related strategies.

关键词

Keywords

references

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