指数基金是投资者进行证券投资的重要工具，随着资本市场的发展，越来越发挥重要作用，但投资指数基金也存在一些弊端，如投资较为被动，跟随指数波动，难以获得超越指数的收益等。如果存在一种交易模型，既能获得绝对收益，又能获得超越指数的收益，对投资者来说，不失为优选策略。本文将如下情况定义为收益优化：多数年度收益率为正，多数年度收益率超越指数，累计收益率大幅超越指数。文章探索建立指数基金交易模型，根据模型交易，实现收益优化。从技术分析方法着手，以格兰维尔法则为基础，选择均线指标，构建交易模型，按照模型进行指数基金交易。然后通过多年的历史数据，对上证指数、沪深300指数、日经225指数、恒生指数、标准普尔500指数等11个国内外具有代表性的指数进行检验，检验运用模型进行交易，是否能实现收益优化。结果表明，模型可实现收益优化的目标，且成功率高，适用于国内外多种类型指数，可在指数基金投资中采用本模型。但由于各国股票指数较多，无法一一检验，是否都适用，尚未证明，需要在未来的研究中不断完善。

As one of all kinds of investing tools for investors, index funds are playing more and more important role, with the developing of financial market. However, on the other hand, there are some malpractice , for example, passive to invest, moving as the index rising and falling, difficult to get extra profit. If there is a good model to invest, by which can not only get real profit, but all so extra profit more than the index, it will be a suitable and excellent means. In the article, it is called profit optimization that real profit in numerous years, extra profit more than index in most of the time, the more total yield than index. And now, I will create a model for investing index fund, to make buying orders or selling ordes about index fund investing. The model is constituted by moving average(MA),based on the Glanville Rule, from technical analysis. Then, I will test whether the model can have profit optimization, used in the 11 main stock indexes of the world, such as the Shanghai Composite Index, Shanghai and Shenzhen 300 index, the Hang Seng index, the Standard and Poor’s 500 index during tens of years. The result shows that this model can get optimized profit, higher successful trading rate, strong efficiency, can be used to kinds of indexes home and abroad. It will be an effective strategy and method to invest index fund. However, it is unsure that whether the trading model can be used to all indexes in the world, because the stock indexes are too more to test and verify one by one. And it’s necessary to improve and develop this model in the future.