在過去的數十年中大家不斷在金融市場裡尋找安全且可以穩定獲利的交易方式，優秀的學者們發現幾種不錯的交易方法可以獲得不錯的報酬，分別是利差交易、動能交易與價值交易，這幾種方法在除了在歷史上獲利不錯以外，同時也可以應用在不同的交易市場。後來的學者進一步研究這幾種方法的成因發現他們都有著特別的性質，像是利差交易與動能交易大部分時間維持著低波動高報酬的特性，但在少數時間波動增大且報酬降低，而價值交易則是大部分時間維持低波動低報酬，少數時間高波動高報酬。對投資人來說想要在獲利上在進一步增加勢必需要避開低報酬的時間並且在高報酬的時間增加投資部位，因此本文使用變動切換馬可夫轉換機率模型（Time-varying Transition Probability, TVTP）來尋找能夠預測高低報酬時間的關鍵因子。
實證後發現不管是在利差交易、動能交易還是價值交易都有共同的影響因子，股價指數波動因子、市場流動性風險因子和落後違約因子三者皆對三種交易模型具有解釋力。這三個因子數值偏高時，應減少利差交易與動能交易的交易部位、增加價值交易的交易部位以提升報酬。而工業生產因子也同樣對動能交易具有解釋力，與其他因子不同的地方是它的影響方向相反，當工業生產因子越高時，反而應該提高利差交易與動能交易的部位，減少價值交易的部位。

People are trying to find some investment strategies in financial markets and these strategies need to be profitable and low volatility. Several investment strategies were equipped these features, including Carry Trade, Momentum Strategy, and Value Strategy. Further, scholars found out Carry Trade and Momentum Strategy have low returns less frequently, but once it happens, the period would be shorter and the volatility is much more than low-return period. Value Strategy is different than Carry Trade and Momentum Strategy. It has high returns less frequently and low returns, low volatility in most of the time. One of the purposes of this study is to find out how to separate the return periods by Time-Varying Transition Probability. The other purpose is to find the factors that can explain the transition probability.
The empirical results indicate that all of three transaction strategies can be explained by three macroeconomic factors, equity index volatility factor, market liquidity risk factor, and lagged default spread factor. When these three factors are getting higher, it would be more likely that Carry Trade and Momentum Strategy would get into the low return period. Reducing the position of Carry Trade and Momentum Strategy and increasing the position of the Value Strategy would be better for the investors. Industrial production factor can explain transition probability in Momentum Strategy as well. When industrial production factor is low, it would be much more likely getting into the low return period. Investors should reduce the position in Momentum Strategy.

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