Many people want to invest not easy in stock market that find cheap and growth's stocks.Common stock market analysis can be divided into three types: Fundamental analysis and Analysis Technology and chip analysis. Fundamental analysis is value investing most famous.According to the Literature statistics, Beacause there are many high-growth small cap stocks, Long time invest in small-cap stocks can be a good reward.This study is mainly to value investing ideas, and the experiment data was from 2008 to 2015. It uses Value Factor and Compostion of Growth factor, screening method,Joel Greenblatt's Sorting method and finally sorting method's Three-tier architecture to build Investment Models of Small Caps, Finally, It use Futures Open Contracts Pupil ratio to select investment time, and to build Investment Models of Long and Short's Small Caps. After the experiments, we found that if the stategy is only doing lots of trading, The reward will be best forvalue-based growth factor and the combination of growing factors. If Simply doing short trading strategies, The worse the Model with a combination is, the better the reward will be. By Using Regression Analysis to experiment, the foreign institutional investors open Long and short ratio and TAIEX's Increase are Positive linear relation,When foreign institutional investors open Long and short ratio is bigger ,the higher the possibility of TAIEX's Increase. When foreign institutional investors open Long and short ratio making more low, the TAIEX's Increase decrease impossible.