The TAIFEX launched officially Taiwan Stock Index Futures 21 July 1998, trading volume steadily climbed and trading volume of all goods accounted fairly large proportion in Taiwan's financial markets, the ultimate goal of investors from which to obtain excess return. For all investors, the most important of the three elements investment decisions: buy what the subject, when to enter, when to exit. The location of the entry and exit is indeed the key to profit. Common perception of the general investor is very important of entry point. Some financial programs and related books are almost notice knowledge relevant entry points, and ignore the exit point. Entry regulation and exit regulation what is more important? The data used is the daily TAIEX Futrues and spans from January 2001 to April 2012. We investigate the performance of two strategies, which have same exit but different entry regulation. The one which entry and exit regulation is conducted by optimal parameters would be compared with the random simulation strategy, which entry timing is randomly selected. On the other hand, we compare the performance of two strategies, which have same entry but different exit regulation. The one which entry and exit regulation is conducted by optimal parameters would be compared with the random simulation strategy, which exit timing is randomly selected. After considering the transaction costs, the empirical result shows that the return-risk ratio of the random simulation strategy is statistically greater than that of the optimized strategy. It indicates that the entry regulation seems not as important as people think. And the return-risk ratio of the optimized exit strategy is statistically better than that of the random simulation strategy, that is to say, exit is important than entry.