過去有許多國內外學者針對股票市場的動量策略進行研究，結果發現中期(三個月至一年)而言買進過去贏家投資組合並賣出過去輸家投資組合能獲得顯著的超額報酬，就短期(一個月以內)以及長期(三至五年)而言則買進過去輸家投資組合並賣出過去贏家投資組合能獲得顯著的超額報酬。然而過去在決定投資的權重時，大多使用等權重(Equal Weight)方法，因此本研究首先利用台灣證券交易所上市上櫃股票，全面探討在八種形成期與八種持有期組合下，於台灣股市使用動量策略或反向策略能否獲得顯著正報酬，接著利用凱利公式計算出資產投資比例取代原本的等權重，形成搭配凱利公式之動量策略，探討能否獲得比一般動量策略更高的報酬。
實證結果顯示，當形成期為三個月且持有期為三到九個月以及形成期為六個月且持有期為三個月時，於台灣股市使用一般動量策略能獲得顯著正報酬；當形成期較長時則使用反向策略較容易獲得顯著正報酬。另外，搭配凱利公式之動量策略確實能獲得比一般動量策略更高的報酬，在六十四種組合中，搭配凱利公式之動量策略有六十二種組合的平均月報酬率高於一般動量策略，在形成期為九個月且持有期為三個月的情況下，搭配凱利公式之動量策略能獲得比一般動量策略高0.232%的平均月報酬率，且t值為2.69。

In the past, many scholars conducted research on the momentum strategy, and found that in the medium-term (three month to one year), buying past Winners and selling past Losers can earn significant excess returns. In the short-term (within one month) and long-term (three to five years) buying past Losers and selling past Winners obtain significant excess returns. However, equal weight were mostly used when determined the weight of underlying. Therefore we uses the stocks listed on the Taiwan Stock Exchange to explore whether the use of momentum strategies in the Taiwan stock market can obtain positive return under eight formation period and eight holding period first, and then to explore whether the momentum strategy with Kelly criterion which use the Kelly criterion to determine the weight of underlying can earn more returns.
We demonstrate that the momentum strategy is profitable for formation period three month with holding period ranging from three to nine month and for formation period six month with holding period three month. In addition, momentum strategy with Kelly criterion indeed obtain more returns than general momentum strategy. Among the sixty-four combinations, momentum strategy with Kelly criterion has sixty-two combinations that average monthly return higher than general momentum strategy.

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