This paper proposes to develop system trading strategy using rough set, decision tree in futures market. While there is a great deal of literature about the analysis of data mining, there is relatively little work on developing trading strategies in futures markets. There are three objectives in this paper. The first objective is to analysis performance of decision tree in rule-based system trading. The second objective is to find proper profitable trading interval. The last objective is to find optimized training period of trading rule training. The results of this study show that proposed model is useful trading strategy in foreign exchange market and can be desirable solution which gives lots of investors an important investment information.