CO-S-01-03

Sentiment Bollinger Band Resonance, SBBR

Basic Concept: This indicator measures the positive deviation and resonance intensity of the market's sentiment momentum relative to its historical volatility range. It constructs Bollinger Bands based on sentiment momentum, calculates their standardized deviation (SBB), and multiplies them by the standardized sentiment momentum (Emotion Momentum Z-Score, EMO Z-Score). Negative values are set to zero, capturing quantitative signals during the resonance phase of sentiment momentum and its deviation from the norm.

Mathematical Definition:

Where:

• SBBₜ: The standardized Bollinger Band deviation of sentiment.

• EMO Z-Scoreₜ: The standardized Emotion Momentum Z-Score (sentiment momentum).

1. Calculation Logic and Formula

1. Rolling Mean and Standard Deviation Calculation For the processed sentiment momentum series EMO Z-Scoreₜ, calculate the rolling mean and standard deviation within the window Wroll ：

2. Upper and Lower Bollinger Bands The upper and lower Bollinger bands are defined as:

3. Standardized Bollinger Band Indicator (SBB)

Where:

• EMO Z-Scoreₜ: Standardized sentiment momentum after differential processing.

• MAt: Rolling window mean.

• SDt: Rolling window standard deviation.

• k: Multiplier coefficient for upper and lower bands.

1. Sentiment Resonance Indicator (SBBR)

This means that when sentiment momentum and the direction of the Bollinger Bands align, SBBR is positive; when they are in opposite directions, SBBR is zero to filter out negative fluctuations. SBBR reflects the "amplification" effect of sentiment momentum in the direction of the upper Bollinger Band, representing the extremity of sentiment in the short term.

2. Indicator Explanation

SBBRₜ represents the positive resonance intensity of sentiment momentum relative to its historical volatility range. It indicates the degree to which sentiment deviates from normal conditions in the short term and amplifies its own momentum.

1. Sentiment Bollinger Band Indicator (SBB) The SBB provides insight into the standardized deviation of sentiment momentum from its historical volatility, enabling the detection of extreme sentiment in the market.

SBB Interval	Emotional State
SBB > +1	Overheated Emotion
+0.5 < SBB ≤ +1	Positive Emotion
−0.5 ≤ SBB ≤ +0.5	Neutral Zone
−1 ≤ SBB < −0.5	Weakening Emotion
SBB < −1	Emotional Panic

1. Emotional Resonance Indicator (SBBR)

SBBR	Resonance Intensity	Trading Implications
= 0	No Resonance	Mood and momentum direction are inconsistent
0 < SBBR < 2	Weak Resonance	Gentle deviation, signal needs confirmation
2 ≤ SBBR < 4	Medium Resonance	Significant mood anomaly, trading opportunities increase
SBBR ≥ 4	Strong Resonance	Extreme mood resonance, strong reversal risk or opportunity

3. Application Recommendations

1. Extreme Sentiment Identification

Scenario	Condition	Strategy Advice
Hyperthermia period	SBB > +1 and SBBR ≥ 2	Market sentiment is overly optimistic
Panic period	SBB < −1 and SBBR ≥ 2	Market pessimism is excessive

1. Trend Confirmation and Reversal Detection

Trend Continuation: When SBB moves in the same direction as price momentum and remains outside the ±0.5 range, it indicates sentiment–price resonance, suggesting the trend may continue.

Trend Exhaustion: If the price makes a new high (or low) while the SBB fails to break above (or below) accordingly, a sentiment divergence forms, signaling potential weakening of the trend.

Official Example

• Parameter recommendations

Parameter	Definition	Recommended Value
Output Variable	SBBR (Sentiment Bollinger Resonance Indicator) — Core quantitative indicator reflecting the strength of positive sentiment–price resonance	Directly reflects positive resonance intensity
Emotion Momentum Window (W)	Rolling window used to compute the mean and standard deviation of sentiment momentum	30
Bollinger Band Window (W)	Rolling window used to calculate sentiment deviation (SBB)	30
Bollinger Band Coefficient (k)	Controls the width of the Bollinger Bands	Recommended k = 2 (standard Bollinger setting)
Negative-Value Filtering	Focus on positive resonance phases by removing negative values	Retain only positive resonance periods

• Sample Description