An Empirical Study on the Efficiency of Technical Analysis Trading Rule with Conformance of Volume and Price

By combining the variation of price and volume we predict the following variation and get abnormal returns. Our empirical study show that, after controlling for the trading costs and risks, the efficiency of technical analysis transferring rule is relevant to the time span it adopts. Except that it result negatively as we apply a 0.2 trade volume, there is always a technical analysis transferring rule with a trade volume limiting can bring us more abnormal returns than without the limiting. In general, our study supports the conclusion that the technical analysis rule with the conformation of volume and price has some efficiency, though further study is always expected.