Abstract: In recent years, the rapid 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 $\widehat{\rm MACD}_t$   based on MACD
indicator, which is suitable for high-frequency trading strategy
modeling. We also prove the stationarity of $\widehat{\rm MACD}_t$
under the hypothesis of stationarity of the increments of logarithm
price process. Finally, we construct a high-frequency trading
strategy based on $\widehat{\rm MACD}_t$  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.

Key words: high-frequency trading, MACD, logarithmic increment process, stationary process