Futures market has high leverage and the characteristics of over-performing returns. Hence, it always attracts lots of investors. However, three major kinds of institutional traders are more influential than individual investors in Taiwan. In this paper, a monthly predicting model for the weighted price index of the Taiwan Stock Exchange (TAIEX) was built based on correlation and regression analysis by using the following parameters: Dow Jones industrial index, NASDAQ index, M1A, M1B, M2 annual growth rate, US dollar exchange rate, economic monitoring indicator and global oil prices. Then, based on the prediction results, we define two trading strategies and apply them in trading MTX (mini Taiwan index futures). The evaluation result shows that both the two trading strategies have good returns.