這篇文章主要是利用三種交易系統測試 2003 年台灣股價加權指數期
貨的日內資料:移動平均穿越法、賽塔支撐壓力策略、K-D 隨機指標。
站在當沖者的觀點測試歷史資料的表現，並分別建立停損與停利點控
制交易中所發生的損失與利得。研究結果發現，在調整交易成本後，
順勢系統的表現的確可以獲得顯著的利潤且多頭的利潤多於空頭；而
逆勢系統則無法獲得顯著的利潤。

This paper tests three kinds of trading strategies: two of them are momentum strategies－MA, Support and Resistance and the other is contrarian strategy － Stochastic Indicator by utilizing the futures contracts on Taiwan Stock Exchange Capitalization Weighted Stock Index in 2003. We test their historical performances of these three strategies in view of the day traders who must close out their positions before the closing in every single trading day. In addition, we combine each of these rules with the so called stop-loss-point and take-profit-point to control our gains and loss on the positions. For the momentum
strategies, the results suggest that the returns following buy signals are higher than following sell signals. For contrarian strategy, there is no evidence that the returns are positive across all rules. In sum, our results reveal that it still has the possible to gain significant profits in the futures market for the day traders, even after adjusting the transaction costs.

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