本研究於台指期貨市場回測ATR 停損、固定天數停損、N 天低價停損、百分比停損等策略相對於買入持有策略之投資績效優劣，並採取成對母體平均數差異t檢定對樣本測試結果進行分析。樣本資料為2006 年1 月2 日至2013 年11 月7 日近八年度之台指期貨日資料，資料來源為台灣期貨交易所，共採集1951 筆資料。在回測之前，先將日資料進行連續化處理，進而篩選出符合標準的資料。研究結果發現，在全部的樣本資料期間內，利用四種停損策略與買入持有策略之績效進行比較時，買入持有策略顯著優於固定天數停損策略與ATR 停損策略。若將研究期間縮短為2008 年金融海嘯後至2011 年歐債危機前，可以發現在這個完整的多空頭時期買入持有策略均優於四種停損策略。根據本研究結果，於台指期貨市場中，四種停損策略績效並沒有優於買入持有績效。換句話說，這四種停損策略運用在台指期貨市場上，其績效表現並沒有比買入持有策略來的好。

The purpose of this study is to compare the performance between stop loss and buy-and-hold strategy in Taiwan Stock Index Futures Market. The data used is daily data of Index Futures contracts and spans from 2^(st) January 2006 to 7^(th) November 2013. The empirical research is separated in two parts: In the first part, it can be found that the performance of buy-and-hold strategy is better than ATR stop loss strategy and time stop loss strategy in 2^(st) January 2006 to 7^(th) November 2013. The result of the second part shows that the performance of buy-and-hold strategy is better than the four stop loss strategies mentioned in this study. The findings of this study are as follows: In general, the performance of the four stop loss strategies is not better than the performance of buy-and-hold strategy in Taiwan index futures market.