Application of stationary technical indicator in high-frequency trading based on MACD

In recent years,the Tapid development of the high-frequency trading in the global financial market causes the extensive concern of the financial world.Because of the high frequency character,the high-frequency trading cannot be implemented by manual operation,but only with the help of computer programming trading system.Therefore, building a reasonable model of high-frequency trading strategy is necessary.MACD is a very important and commonly used technical analysis indicator in the stocks,futures, foreign currency exchange market,it is commonly used to judge the buying or selling time,and track the running trend of price of assets.In this paper,we define a new stationary technical indicator MACDt based on MACD indicator,which is suitable for high-frequency trading strategy modeling.We also prove the stationarity of MACDt under the hypothesis of stationarity of the increments of logarithm price process.Finally,we construct a high-frequency trading strategy based on MACDt and test its effectiveness and profitability by using real market high-frequency data.All those put forward a new kind of thought in high-frequency trading.