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

Yicheng Zhang

doi:10.47297/wspdecWSP2515-797316.20250907

PDF
导出
分享
收藏
专辑

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

9卷第7期

浏览量: 0 Downloads: 0

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
2025年9卷第7期页码：81-88
纸质出版：2025-07-30
DOI：10.47297/wspdecWSP2515-797316.20250907
Accepted：

Scan QR Code

(2025). Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies. 发展经济学, 9(7), 81-88.

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.
(2025). Statistical Analysis of Intelligent Bollinger Band System Based on High-Frequency Trading Strategies. 发展经济学, 9(7), 81-88. DOI： 10.47297/wspdecWSP2515-797316.20250907.

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

https://html.publish.founderss.cn/rc-pub/api/common/picture?pictureId=91425791&type=

2.28600001

https://html.publish.founderss.cn/rc-pub/api/common/picture?pictureId=91425792&type=

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

J. Bollinger , Bollinger on Bollinger Bands , 117 - 124 ( 2002 ).

P. Gabrielsson , U. Johansson , R. König , Co-evolving online high-frequency trading strategies using grammatical evolution . 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) , 473 - 480 ( 2014 ).

A. J. Menkveld , High Frequency Trading and The New Market Makers . Journal of Financial Markets 16 ( 4 ), 712 - 740 ( 2013 ).

I. Aldridge , What is high-frequency trading , afterall 8 , 2010 .

S. Bao , W.A. Zheng , Y. Zhou , Application of stationary technical indicator in high - frequency trading based on MACD . Journal of East China Normal University (Natural Science) 2013 ( 5 ), 152 - 160 ( 2013 ).

R. Z. Yan , P. Li , Y. Zeng , An algorithmic trading strategy for high frequency trading . Journal of Management Sciences in China 17 ( 3 ), 88 - 96 ( 2014 ).

Y. Xia, B.X. Lan, Empirical test of technical analysis in stock investment . Business Research 293 , 45 - 51 ( 2004 ).

S. Wang, Quantitative Investment: From Behavioral Finance to High - Frequency Trading . East China Normal University , ( 2013 ).

T. Q. Song , The Statistic Analysis of BIAS Technical Indicator Based on High-Frequency Trading Strategy . Harbin Institute of Technology, (2015) .

I. Aldridge, High Frequency Trading : A Practical Guide to Algorithmic Strategies and Trading Systems , ( 2009 ).

V. H. Martinez , I. Rosu , High Frequency Traders, News and Volatility . AFA 2013 San Diego Meetings Paper, (2013) .

S. Esipov, Weakly Inefficient Markets: Stability of High Frequency Trading Strategies . Lithuanian Journal of Physics 52 ( 2 ), 102- 114 ( 2012 ).

A.P. Chaboud , B. Chiquoine , E. Hjalmarsson , C. Vega , Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market . The Journal of Finance 69 ( 5 ), 2045-2084( 2013 ).

Á. Cartea , S. Jaimungal , Risk Metrics and Fine Tuning of High-Frequency Trading Strategies . Mathematical Finance 25 ( 3 ), 576 - 611 ( 2015 ).

Liu W . Statistical Analysis of Stochastic Processes Based on Stock Market . East China Normal University , ( 2007 ).

文章被引用时，请邮件提醒。

Submit

No data

Related Author

No data

Related Institution

No data

⁰