本研究利用10種常用的技術分析指標，輔以不同之指標參數，組成37,348種交易策略測試台灣50ETF的日交易資料。探討技術分析是否可以打敗買入持有策略獲取超額報酬以及台灣證券市場是否符合弱式效率市場假說。
研究期間分為兩個階段：第一階段從2003年6月30日至2005年11月30日，此階段為樣本內期間，找出可以獲取超額報酬的贏家策略；第二階段為樣本外期間，從2005年12月1日至2008年4月30日，以第一階段的贏家策略在此期間模擬操作並判斷是否有持續性的結果。依據實證結果，獲得以下幾點結論：
一、技術分析操作策略可以獲得絕對報酬。
二、單一技術指標的技術分析操作策略並無法擊敗買入持有的操作策略。台灣股票市場整體符合弱式效率市場之假說。
三、股價原始資料經過不同方式的除權、息還原處理會影響技術分析贏家策略的選擇。

This paper uses TTT daily data from 2003 to 2008 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy and examine the market efficiency hypothesis. Ten technical trading indicators with different parameters were used in this paper.
This paper tests these technical trading strategies using the two-period-test framework. The period used for building the model, as in-sample data, is from 30th June 2003 to 30th November 2005 and the period used for testing the model or out-of-sample data is from 1st December 2005 to 30th April 2008. We find that technical trading strategies can help investors get absolute profit, and that technical trading rules did not outperform the buy-and-hold strategy and that the Taiwan stock market matches the weak form of the efficient market hypothesis. How to deal with the stock price which has been adjusted for split and dividends will affect the result of the technical trading.

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