Abstract
The article tests for the performance of momentum and contrarian strategies in index futures contracts. The momentum strategies buy the index futures that outperformed in the recent past, sell the index futures that underperformance. On the contrary, the contrarian strategies buy the index futures that underperformance in the past, sell the index futures that outperformed. Then we combine different information period and holding period, and examine the profitability of 84 strategies. As the result, we find that momentum strategies are profitable over horizon from 1 to 12 months, while contrarian strategies are profitable for long horizons as 18 months or longer. Besides that, the study also analyzes the source of the profitability. Would the strategies consist the abnormal return.