Resumen
The purpose of this article is to investigate whether, how and when, from a statistical stand-point, Technical Analysis strategies tools hold true for the futures contract of Ibovespa Index, negotiated at the Brazilian Futures Exchange (?Bolsa Brasileira de Mercadorias e Futuros ? BM&F?), using tick-by-tick data. The methodology applied was suggested by Baptista (2002), in a way that the rules are grouped according to similar performance and are validated in subsequent intervals of time. As a result, in all periods and independently of sampling frequency, the strategies over-perform the buy-and-hold strategy, but realistic considerations about transaction costs and timing can reduce the gain.