Abstract
Abstract This paper discussed the main market transactions in the high-grade zone and low-grade zone of extreme market, with Taiwan Weighted Index as the research blueprint and professional investment institutions (commonly known as Corporation) as the behavioral object of the research. The variation of features net position (multiple or clearance) of TOP10 traders (transaction type is corporation，same as below) revealed in data published by Taiwan Stock Exchange and the Taiwan Futures Exchange was considered as the viewing judgment of net position trends. Moving Average Method was used to adjust the values of the market index, the market index returns, the number of futures net, and the sales ratio, after which the improved Kelly Formula was used to simulate and verify its return analysis. The daily closing prices of Taiwan Weight Index between 2011 and 2014 which were used to calculate moving average market index return and the after-hour data of TOP10 traders published by Taiwan Features Exchange which was used to calculate numbers of moving average net position and average sales rate were collected in this paper. As supplement, the improved Kelly Formula was used to simulate and verify its operation strategy return rate. Assuming the number of net position is above 10,000 and also the investment fund ratio is > 0, according to above verification, the operation strategy is long-term effective. Keywords：future top ten traders、net position、moving average、the improved Kelly Formula