China’s Stock Market is the most important emerging market awaiting for investigation by both academics and industrials. We study the pro…tability of long position in winner-based threshold momentum strategies after accounting for the trans-action cost. We …nd substantial pro…ts (double to octuple the money every year) in daily threshold trading strategies when trading cost is not accounted. However, at very low level of trading cost, say 0.2%, all pro…ts disappear. We employ a model that rebalance the portfolio carefully to save the transaction cost, but the trading rules still fail to profit at a reasonable level of trading cost. Thus, the momentum pro…ts may not compete with the trading cost.