在使用White的真實性檢定和Stepwise Multiple Test消除資料勘誤的問題之後，有些技術分析確實可以擊敗大盤，在1989到2008，DJIA, NASDAQ, S&P 500, NIKKEI 225, TAIEX這五個指數中。但是在較不成熟的市場或較過去的時間內，我沒辦法找到任何強烈的關係在這些市場與超額報酬間。還有學習策略通常沒辦法獲得比簡單策略更好的表現，代表使用過去最好的策略來預測未來並不是個好主意。我同時還發現在熊市比穩定的牛市更有可能擊敗買進持有的策略。 / In five indices, DJIA, NASDAQ, S&P 500, NIKKEI 225, TAIEX, from 1989 to 2008, some technical trading rules indeed can defeat the broad market even after using the White reality check and stepwise multiple test to solve the data snooping problem. But in the markets like less mature ones or the one which was in the older period, I can’t find a strong relation between these markets and the excess return in my research. And the learning strategy usually can’t have a better performance than the simple one, means applying the rule which had a best record to forecast the future may not be a good idea. I also found that it is more likely to beat the buy and hold strategy when there is a bear market but not a steady bull market.

在這篇文章裡我們採用了White所提出的真實檢驗法(Reality Check)來解決探勘資料偏誤(Data-snooping bias)的問題，結果顯示從1980年到2008年間，技術分析法則的確可以幫助投資人在日圓兌美元及英鎊兌美元這兩個外匯市場獲利；我們也發現在外匯市場最普遍的技術分析方式─移動平均法(moving average)表現不如其他的技術分析法則，而通道突破法(channel break-out)的表現則明顯優於其他技術分析法則。 除了檢驗技術分析方法的獲利性之外，我們也嘗試著探討技術分析方法的獲利性與央行干預之間的關係，追隨Szacmary與Mathur在1997年所發表的論文，我們把技術分析法則擴充為在真實檢驗法中所使用到的所有法則，並且盡可能加長分析的期間。結果顯示技術分析法則的獲利與央行干預並不存在任何特定的關係。 / In this paper we construct a huge universe of simple trading rules and apply White’s Reality Check to mitigate data-snooping bias then detect the profitability of technical trading rules. We find that technical analysis is useful no matter in the full sample time or each subsample period. The channel break-out method outperforms the other methods in our finding while the profitability of the most commonly used moving average method is worse than the others. Furthermore, we inspect the relationships between the returns of technical trading rules and central bank intervention. The results suggest that there’s no evident relationship between the return series of trading rules and central bank intervention and are not consistent with the view of our following previous study.

於這篇論文中，我們運White (2000)的Reality Check與Romano and Wolf (2005)的stepwise multiple test檢測交易策略的獲利性以更正資料窺探的偏誤。不同於先前運用資料窺探法則的研究，我們的研究以技術分析及時間序列預測兩者為依歸來建立交易策略，另外我們探討的市場集中在六個主要的亞洲股票市場。大致上，我們發現鮮少證據支持技術交易策略的獲利性；於基礎分析中且考慮交易成本時，只有少數幾個獲利性交易法則出現於兩個興新市場。另外在子樣本期間中，我們發現獲利性策略的表現並不穩定且這幾年來獲利性有逐漸變弱的趨勢。在進階分析中，我們發現沒有任何交易策略表現優越於基本的買進持有策略。 / In this paper, we exam the profitability of trading strategies by using both White’s (2000) Reality Check and Romano and Wolf (2005)s’ stepwise multiple test that correct the data snooping bias. Different from previous studies with the data snooping methodology, our analysis set the universe of forecasts (trading strategies) based on both technical analysis and time series prediction, and the markets which our investigation focuses on are six major Asian stock markets. Overall we find little supportive evidence for the profitability of trading strategies. Our basic analysis shows that there are only few profitable trading strategies detected for two emerging markets while transaction costs are taken into account. Moreover, the performances of the profitable strategies are unstable and the profitability becomes much weaker in the recent years as we find in the sub-periods. In further analysis, we also find that there is no trading strategies in our universe that can outperform the basically buy and hold strategy.