The purpose of this article is to investigate whether, how and when, from a statistical standpoint, Technical Analysis strategies tools hold true for the futures contract of Ibovespa Index, negotiated at the Brazilian Futures Exchange (â€œBolsa Brasileira de Mercadorias e Futuros â€“ BM&Fâ€), using tick-by-tick data. The methodology applied was suggested byBaptista (2002), in a way that the rules are grouped according to similar performance andare 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 startegy, but realistic considerations about transaction costs and timing can reduce the gain.
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