真實性檢定在技術分析議題上之應用：以台股市場為例

Abstract

本文以White（2000）一文提出的White真實性檢定（White’s Reality Check），在排除資料窺探偏誤的情況下，檢查技術交易策略在臺灣股票市場個股的獲利能力。這些策略由臺灣股市投資人熟悉之技術指標組合而成。本文發現部分進出場的技術交易策略，例如KD指標與MA指標之組合，確實能使特定個股在樣本期間內擊敗買進持有策略，獲取良好的報酬。本文將這些表現優異的技術交易策略進行樣本外之測試、並將交易成本納入考量，發現部分的技術交易策略，例如KD、MA與RSI指標之組合，之績效依然超越買進持有策略之績效。

Using White's Reality Check introduced in White (2000) to minimize data snooping bias, this paper examines the profitability of technical trading strategies in individual stocks in Taiwanese stock market. These strategies are composed of technical indicators. It turns out that certain technical trading strategies, e.g. combination of KD and MA indicators, indeed outperforms the buy-and-hold strategy for specific stocks during the sample period. Subsequently, this paper focuses on these high-performing technical trading strategies and performs out-of-sample tests while considering transaction costs. Some of these strategies, e.g. combination of KD, MA, and RSI indicators, continue to outperform the buy-and-hold strategy in terms of return.