This paper mainly investigates whether the momentum strategies and contrarian strategies can create significant profits under different formation horizons and holding horizons, whether past factors （such as market return, characteristic of individual stock） can provide an important implication about the profits of momentum and contrarian strategies. As a whole, we find the momentum strategies less than 24 weeks are more. successful , the contrarian strategies beyond 24 weeks can earn significant profits in China stock market. We also find, considering market factor （market return, cross-sectional variance of equity returns） and characteristic of individual stock （trading volume, firm size, price/earnings, BE/ME）, there exist clearer and more significant modes of profitability in momentum or contrarian strategies