過去技術分析面對許多批評，包括效率市場假說，認為不可能透過分析歷史價格來預測未來趨勢，進而於市場獲利。還有資料窺探的問題，批評者認為技術分析研究進行的統計檢定，有可能因為違反這些統計檢定的基本假設或是因為多重檢定的關係，因而提高檢定偏誤的可能性。因此本文針對幾個方向探討，首先是不同的資料處理方式，以及挑選七個已開發國家的市場指數期貨，還有三種技術指標 (RSI、OBV、VHF)，並採用不同指標組合策略以嘗試改善指標的預測能力，利用較為廣泛的參數進行交易策略建構，一共14952種交易規則。最後以三種統計檢定，對結果進行穩健性的檢驗。無論是考量不同期貨資料換月方式，不同子期間、不同統計檢定，結果皆能發現許多技術指標具有預測市場能力的跡象。

There are many criticisms about the technical analysis in the finance literature. One of the typical examples is the efficient-market hypothesis, which argues that it is impossible to beat the market consistently as the asset prices fully reflect all available information. In addition, data snooping is an important issue and yet receives inadequate attention when evaluating the profitability of technical analysis. This thesis directly addresses various aspects of technical trading indicators, including but not limited to: the futures contracts rollover, and index futures of major markets, and three technical trading indicators (RSI, OBV, VHF). In particular, different combinations of technical trading strategies are implemented to improve the predictability of technical trading with an extensive set of parameters amounting to 14,952 trading rules. Finally, our results of technical analysis are robust to treatments of rollovers, subsample analysis, and statistical testing without data-snooping. We find that a number of technical trading rules produce promising predictability for a certain market index futures which leads to important implications in technical analysis research and practical futures trading.

一、中文部分

周建新、陳振遠，2002「濾嘴法則操作績效與台灣期貨市場效率性之研究」，中華管理評論，第五卷第四期，頁103-119。

倪衍森、廖怡晴、黃寶玉，2016。「技術指標之實證研究: 以台灣50 成分股為例」，中華管理評論，第十九卷第一期。

許溪南、何怡滿、張瓊如，2012。「KD 與 MA 技術指標在避險時機之應用:以台指選擇權為例」，輔仁管理評論，第十九卷第一期，頁27-46。

張文盈、謝文良，2009。「股價指數期貨轉倉方法實證--以台灣期貨交易所發行之四種契約為研究樣本」，交通大學財務金融研究所學位論文，頁1-37。

謝文良，2002。「價格發現、資訊傳遞、與市場整合－台股期貨市場之研究」，財務金融學刊，第十卷第三期，頁1-31。

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三、網路資源

泛歐交易所（Euronext）：
https://www.euronext.com/en

歐洲期貨交易所（Eurex Exchange, EUREX）：
http://www.eurexchange.com/exchange-en/

洲際交易所集團 (IntercontinentalExchange, ICE) ：
https://www.intercontinentalexchange.com/index

香港交易所 (Hong Kong Exchanges and Clearing Limited, HKEx) ：
https://www.hkex.com.hk/?sc_lang=en

芝加哥商業交易所 (Chicago Mercantile Exchange, CME) ：
https://www.cmegroup.com/