In this paper, Statistical experiment method is used to analyze all A-share historical data of SZSE (Shenzhen Stock Exchange) and SSE (Shanghai Stock Exchange) in the past 15 years via China mainland general securities information and trade platform. By regression analysis, win rate, annual return rate, net profit rate and maximum times of annual trades are chosen managerial targets to prove the inertia law which is prevalent in securities market. It is concluded that inertia law is erroneous and unable to guide investment.