This study constructs investment portfolio by employing neural network methodologies, which are used to predict stock price with technical analysis indexes and institutional investors’ net trading volume. We use the electronic stocks in the FTSE TWSE Taiwan Mid-Cap 100 Index during 2006-2010 as a sample. Mean-Variance rules are employed to decide the weights of capital allocation. Our strategy can make a five-year cumulative return 334.1%, equivalent to annually 34.13%. Appraising by the three major methods (Jensen, Treynor and Sharpe), our strategy performs better than other similar type mutual funds in Taiwan market during the sample period, whether before or after the financial tsunami.