Adopting programming trading, this study tries to investigate whether or not Taiwan's QDII with the information of securities lending to QFII can improve their performance in Taiwan's futures market during 2004-2011. The empirical evidence shows that following the past model which is with the informed information of securities lending to QFII is critical to QDII's operation to make profit(investment trust, dealers and INFI's net profits were 34,000, 160,000, and 260,000 respectively). It indicates that Taiwan futures market does not fulfill the conditions of strong-form efficient market during the financial crisis.