本文探討技術分析在新台幣兌美元外匯市場上是否具有獲利能力。運用移動平均線、軌道法、動量指標、趨勢線等四種技術分析工具，對1991年1月3日至1997年10月16日之新台幣兌美元匯率銀行間交易收盤價進行模擬交易實證分析。採用bootstrap方法對匯率變動率就隨機漫步模型及去除星期效應後的ARMA(4,1)模型各模擬1000條虛擬匯率序列，以虛擬匯率序列的技術分析報酬來對實際匯率序列的技術分析報酬進行顯著性推論。
將四種技術分析應用於1991年1月3日至1997年10月16日期間的實際匯率交易，在扣除1角交易成本後，除移動平均法外，其他三種交易法則均獲得負超額報酬。此外，將四種技術分析應用於1996年1月17日至1997年10月16日期間的實際匯率交易，在扣除買賣價差後，四種交易法則均獲得負超額報酬。隨後以bootstrap方法模擬的隨機漫步模型與ARMA(4,1)模型匯率作交易，顯示這些技術分析法則不能獲得統計上顯著的正超額報酬。因此技術分析在新台幣兌美元外匯市場上沒有獲得統計上顯著的正超額報酬的能力。

This paper examines the profitability of technical analysis trading rules in NT/USD foreign exchange market. Four trading rules－Moving average rule, Channel rule, Momentum oscillator, and Trend line－were applied to simulate trades by utilizing the spot interbank NT/USD closing rate from Jan,3rd,1991 to Oct,16th,1997. I applied the bootstrap methodology to generate 1000 simulated series under both null models－the Random Walk model and the ARMA(4,1) model after removing the day-of-the-week effect. Trading returns from NT/USD series were then compared to those from null series for the significant inference.
When these trading rules applied to the NT/USD rate from Jan,3rd,1991 to Oct,16th,1997, except the moving average rule, the other three trading rules make negative profit after adjusting transaction costs of 0.1 NT dollar. When the four rules applied to the rate from Jan, 17th,1996 to Oct,16th,1997, these rules make negative profit after adjusting bid-ask spread. Four trading rules were also applied to both null series. The bootstraping results indicate that four trading rules cannot make statistical significant excess profit. Therefore, technical trading rules do not make significant excess profit in the NT/USD foreign exchange market.

目錄
第一章 緒論
第一節 研究背景與動機 ………………………………………1
第二節 研究目的 ………………………………………………..3
本章註釋 ………………………………………………………4
第二章 文獻探討
第一節 效率市場假說與技術分析獲利性 ……………………5
第二節 技術分析的理論性探討 ………………………………7
第三節 技術分析之實證研究 …………………………………12
一 濾嘴法則 ………………………………………………….13
二 移動平均法 ……………………………………………….14
三 壓力線-支撐線法 …………………………………………15
四 型態法 …………………………………………………….17
第四節 動量指標與正向回饋交易策略 ………………………19
第五節 技術分析報酬的檢定 …………………………………21
第六節 技術分析報酬之解釋 …………………………………24
第七節 小結 ……………………………………………………27
本章註釋 ……………………………………………………29
第三章 研究方法
第一節 我國外匯市場簡介暨資料說明 ………………………30
第二節 研究假設 ………………………………………………32
第三節 技術分析指標及其買賣訊號設定 ……………………33
一 移動平均線 ………………………………………………35
二 軌道法 ……………………………………………………36
三 動量指標 ………………………………………………..38
四 趨勢線 …………………………………………………..41
第四節 報酬計算方式 …………………………………………43
第五節 Bootstrap approach …………………………………….44
一 Bootstrap方法 …………………………………………..45
二 運用bootstrap模擬方法於技術分析報酬的檢定 …….47
三 bootstrap模擬之假設模型 ……………………………..48
第六節 研究限制 ………………………………………………51
本章註釋 ……………………………………………………..52
第四章 實證分析
第一節 匯率變動率基本統計性質 ……………………………53
第二節 時間序列模式之選取 ………………………………….54
第三節 技術分析報酬 …………………………………………59
第四節 技術分析報酬之bootstrap檢定 ………………………67
一 隨機漫步模式 ……………………………………………..67
二 時間序列模式 ……………………………………………..70
第五節 技術指標是否具有顯著獲利性的推論 …………..…..…81
本章註釋 ………………………………………………………………83
第五章 結論與建議
第一節 研究結論 ………………………………………………85
第二節 後續研究建議 ……………………………………...87
本章註釋 ……………………………………………………………89
參考文獻
中文部份 …………………………………………………………97
英文部份 …………………………………………………………97
圖表目錄
圖目錄
圖一 頭肩頂反轉型態 ……………..…………….………18
圖二 軌道法天期選擇圖示 …………………………….38
圖三 bootstrap方法圖示 …………………………………46
圖四 匯率變動率之自我相關係數 ……………………….57
圖五 匯率變動率之偏自我相關係數 …………………….57
附錄圖一 樣本期間匯率走勢圖 ……………………………………92
附錄圖二 bootstrap方法模擬之隨機漫步模型匯率走勢 ………..93
附錄圖三 bootstrap方法模擬之時間序列模型匯率走勢 ………93
附錄圖四 移動平均法圖示 …………………………..……94
附錄圖五 軌道法圖示 ……………….……………….……94
附錄圖六 動量指標圖 ………………………………………….95
附錄圖七 1991/01/03-1998/02/25期間的NT/USD匯率走勢 …….96
附錄圖八 1991/01/03-1998/02/25期間的NT/USD匯率變動率…..…96
表目錄
表一 NT/USD匯率變動率基本統計性質 ……..…………53
表二 一週中各營業日的匯率變動率統計性質 …….……54
表三 ARMA(4,1)模式之參數估計值 …………..…………56
表四 ARMA(p,q)模式之估計 ………….…………58
表五 移動平均法模擬操作結果 …………………….…63
表六 軌道法模擬操作結果 ………..………….………64
表七 動量指標模擬操作結果 …………………….………65
表八 趨勢線模擬操作結果 ……...…..……..…………66
表九 移動平均法對bootstrap隨機漫步序列操作結果 ..….….73
表十 軌道法對bootstrap隨機漫步序列操作結果 …....74
表十一 動量指標對bootstrap隨機漫步序列操作結果 …...75
表十二 趨勢線對bootstrap隨機漫步序列操作結果 ……....76
表十三 移動平均法對bootstrap ARMA(4,1)模型操作結果 …...77
表十四 軌道法對bootstrap ARMA(4,1)模型操作結果 …...78
表十五 動量指標對bootstrap ARMA(4,1)模型操作結果 …...79
表十六 趨勢線對bootstrap ARMA(4,1)模型操作結果 …….…80
表十七 技術指標之平均總超額報酬整理表（扣除1角交易成本） ……………………..........……………………81
表十八 技術指標之平均總超額報酬整理表（扣除實際買賣價差） ………………………………………………82
附錄表一 ARCH-family模式估計表 ……………………….90
附錄表二 技術指標對1997/10/17-1998/02/25期間的NT/USD匯率操作結果 …………………………….....………91

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