In this paper, a hybrid prediction model based on rough set (RS) and support vector machine (SVM), RSS prediction model, is proposed to explore the stock index futures tendency. In this approach, RS is used for feature vectors selection to reduce the computation complexity of SVM and then the SVM is used to identify stock index futures movement direction. To evaluate the prediction ability of RSS model, we compare its performance with that of neural network model. At the same time, we suggest an investment efficiency formula which is used for decision making. The empirical results reveal that RSS model outperforms other prediction models, implying that RSS model can be used as a viable alternative solution for stock index futures prediction.