過去針對技術分析的研究鮮少討論到風險管控能力。本文針對移動平均線指標，分析其在金融海嘯期間應用於股價指數期貨上之績效與風險管控能力。結果顯示幾乎所有的移動平均線指標應用在國內三大指數期貨上都能夠獲得超額報酬，尤其在金融海嘯期間或在更高風險的商品上其獲利更佳。就風險管控能力來看，其獲利交易平均每筆損益與平均持倉期間均遠大於虧損交易，且被追繳保證金的次數非常低，這表示依據這些指標來進行投資，能夠在出現小幅虧損時就馬上停損出場；而在投資獲利時卻持續持有該部位以增加獲利幅度。因此投資人可以藉由其停損停利的機制來避開處分效果。所以就風險管控能力來看，移動平均線確實能夠幫助投資人管控風險並且創造良好績效。

Little literature investigates the risk controlling ability of technical analysis. This study aims to examine the performance and risk controlling ability of moving average indicator on the stock index futures during the financial tsunami period. The result shows that almost all the MA indicators applied on the three index futures in Tawian can make abnormal returns. The profit of the MA indicators is higher when they are applied on the riskier index futures or in the tsunami period. Regarding the risk controlling ability of MA, the average profit and average holding period of every profitable transaction is much greater than that of the loss transaction. Moreover, there are few times of marking to market of MA strategy, which indicates that based on the MA indicators when the small loss comes, the stop loss signals. Meanwhile, the MA indicators can make investors keep holding the profitable positions. Futures investors can therefore avoid the disposition effect by the mechanism of stopping gains and l osses of MA. That is, the moving average indicators indeed can help investorscontrol risk and make good performance.