The profitability of technical analysis: evidence from TWSE mid-cap 100 Index constituents

技術分析一直是許多研究的熱門主題，也被眾多市場參與者廣泛運用在市場交易，而最普遍且最受歡迎的技術分析工具即為移動平均法。 本研究設計三種移動平均交易方法（一種只考慮收盤價，一種考慮收盤價及交易量，而另一種則將交易量作為收盤價的權重），每種交易方法皆使用五天為短期移動平均天數，十天、五十天、一百天、一百五十天、兩百天為長期移動平均天數，總計十五種移動平均交易規則，運用在臺灣中型100成分股以產生買進與賣出訊號，並依訊號進行交易動作，進而在未考慮交易成本的假設下計算出單次交易的平均報酬、平均持有天數，以及Hit ratio（正報酬的交易次數占總交易次數的比例），藉以探討移動平均法在此種股票的獲利性。而以交易量為價格權重來產生移動平均交易方法是基於相信帶有較高交易量的價格較有意義，盼藉以測試此種方法是否正如預期，相較於一般傳統的價格移動平均法有更好的績效。 本研究雖然未考慮交易成本，但呈現的單次交易平均報酬可以提供讀者與實際臺灣股票市場交易成本作比較，藉以了解考慮交易成本後的情況。而本研究除了呈現所有成分股單次交易的平均報酬、平均持有天數及Hit ratio的平均值，也將成分股依照ICB行業分類指標分成幾個主要產業，並呈現各產業內成分股的平均值，企圖了解特定交易方法是否在特定產業有較好的績效。 結果顯示，產生最好績效的移動平均交易方法也僅能有一半的交易次數得到正報酬，而就整體而言，將交易量作為價格權重的移動平均方法，也沒有產生相較於傳統價格移動平均法更好的績效，因此可以說，這類的技術分析對於這些股票無法有較好的績效。Technical analysis has been widely studied and used by many researchers and market participants. The most common and popular technical trading rule is moving average since it is mathematically well defined and used by many analysts. This article examines the profitability of technical analysis for FTSE TWSE Mid-Cap Taiwan 100 Index constituents under the hypothesis of no transaction costs. It uses three strategies (Price Strategy, Price and Volume Strategy, and PV Strategy) and fifteen moving average rules to generate buy and sell signals, and then compute average returns per trading, average holding days per trading, and hit ratios to see the profitability. It is believed that prices come with high volumes are more meaningful than those with low volumes. All of these strategies and trading rules are not only used for all constituents of FTSE TWSE Mid-Cap Taiwan 100 Index without consid-ering industry classifications but also for each major industry classifications of these constituents. Therefore, we can understand whether specific trading rules have better performances for specific industries of these stocks. The results are not that optimistic. Overall Price and Volume Strategy has the best results of hit ratio, however, the highest value is barely 50%, which means it can only have a half trading times positive returns. As for PV Strategy which uses weighted price moving average to trade, the performance has no significantly better than using simple price moving average rule. It can say that Technical Analysis like moving average can hardly have good performances on these stocks