The article discusses a trading system for stock index futures, focusing on the Hu Shen 300 stock index. The researchers analyze high frequency trading prices to develop a strategy for day trading these futures. The goal is to identify potential advantages and create a plan for trading. Stock index futures offer benefits like low transaction costs, easy short selling, and quick execution, making them attractive for speculation. The study aims to help investors, especially institutional ones, manage risks and diversify their portfolios effectively.