近年來有相當多行為財務學的研究，探討一些交易者的異常行為。為了找出交易者究竟利用動量或價值、或其他交易策略來產生獲利，本篇分析在台灣期貨交易所(Taiwan Futures Exchange, TAIFEX)獲利最高的100位交易者之台灣指數期貨的交易資料。
本篇主要探討兩個主題，分別為紀律與動量及價值交易策略。紀律部分，使用三種方法，分別為「風險調整獲利比例」、「實現損益的狀況」、及「報酬反轉比例及停損比例的驗證」，結果發現，獲利高的交易者有八成左右在交易行為上有紀律。動量及價值交易策略部分，檢測到獲利者都能利用兩種交易策略產生利益，因此我們認為，交易者只要是有規律的交易，長期下就能獲利。因為本篇100位都為獲利極高之交易者，針對「報酬反轉比例及停損比例的驗證」進一步探討較無紀律而能獲利的原因，利用動量及價值策略測試之，發現價值策略交易的情況下，獲利略高。
另外，本研究之「報酬反轉比例及停損比例的驗證」部分，依定義將所有交易者的交易資料同時做測試，發現停損比例與報酬反轉比例分別為51.72%及48.28%；隨後，考慮各別交易者的平均停損點重新做測試，發現停損比例與報酬反轉比例分別為72.29%及27.71%。本研究發現此部分的測試方法必須個別考慮每個人的停損點，結果將更合理、更準確。

There are many studies of behavioral finance discussing the anomalies in the trading behavior in recent years. In order to know what kind of strategies, Momentum, Contrarian, or others, to make profit in the futures market, we analyze one hundred individual traders with highest profits during the data period from Taiwan Futures Exchange (TAIFEX).
There are two main issues in this study. One is to examine the Discipline strategy. The other is to explore the profitability when traders tend to choose Momentum or Contrarian strategy. There are three methods to evaluate discipline: Risk adjusted profit, the relationship between unrealized gain and unrealized loss, and return-reverse ratio verse loss-to-profit ratio.
Among one hundred traders with highest profit, eighty percents of the traders trade with discipline and there are more than thirty traders can make profit when they trade either Momentum or Contrarian strategies. An interesting finding is that as long as trades tend to follows a Momentum or Contrarian strategy only, they can make profit in the long run.
Due to traders with higher return-reverse ratio higher than loss-to-profit ratio can still makes highest profits, we make a further test about the relationship between return-reverse ratio and either Momentum or Contrarian strategy. And we find that traders with Contrarian strategy makes a little more profits than traders with Momentum strategy.
In addition, the test about return-reverse ratio verse loss-to-profit ratio, we make the test twice, both before and after considering stop-loss-point. Without considering stop-loss-point, we find that the stop-loss ratio and return-reverse ratio are 51.72% and 48.28% respectively. After considering stop-loss-point, we find that the stop-loss ratio and return-reverse ratio are 72.29% and 27.71% respectively. This study suggests future studies should consider everyone's stop-loss-point, and the results will be more accurate.

林美珍、馬麗菁，「投資機構交易資訊與市場報酬之互動關係」，證券市場發展季刊，民91，第14捲第3期，113-143頁。
林昭賢，「期貨交易者與期貨價格行為關係的三個議題探討」，國立成功大學企業管理研究所博士論文，民國94。
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