¡@¡@With high liquidity and operating flexibility, futures can not be held for long term and must be restricted by margin requirement. This makes many futures traders prefer day trading to avoid the risk of the price gap of the next trading day. ¡@¡@Day traders tend to operate a trend-following strategy based on technical analysis and actively manage their holding positions. They take stop-loss strategy in the wrong direction to limit the damage, while take raise-stake strategy in the right direction to increase profits. A program trading system can even be utilized to carry out the strategy immediately and mechanically. ¡@¡@This study use Taiwan Stock Exchange Capitalization Weighted Stock Index Futures as our sample. It simulates the performance of trend-following strategy of day traders by using moving average as basic signals, combined with the trading volume and Bollinger Band. ¡@¡@We found that, in medium-term and long-term time frame (30-60 minutes), active management of stop-loss and overweight strategy can still change the distribution of performance and earn positive returns, even if moving average technical analysis is not as effective as expected.