Technical Trading Profitability in the Athens Stock Exchange by Dimitrios Vasiliou 1 , Nikolaos Eriotis 2 , Spyros Papathanasiou 3* Abstract The objective of this paper is to examine the performance of specific technical rules in the Athens Stock Exchange (ASE). In particular, we further investigate and provide modifications for Brock, Lakonishok, and LeBaron (1992) methodology, finding various forms of technical analysis that contain significant forecast power for ASE returns. Furthermore, we test one of the most popular trading rules, various forms of moving averages. Firstly we use standards tests. Due to the problem of non-normality on distribution of the abnormal returns identified, the bootstrap methodology under the null models of AR(1) and GARCH(1,1) is proposed. Finally, this research attempts to develop specific strategies that enable investors and portfolio managers to use market timing. Our findings provide strong support for the examined technical strategies. JEL classification number: G12,G14 Key words: GARCH(1,1), AR(1), moving averages, bootstrap. 1 Hellenic Open University, 4 Heiden Street, GR –10434, Athens, Greece 2 National and Kapodistrian University of Athens, 5 Stadiou Street, GR – 105 62, Athens, Greece 3 Hellenic Open University, 2 Knossou Street, GR –17564, Palaio Faliro, Athens, Greece *Corresponding Author: 2 Knossou Str, Palaio Faliro, GR-17564, Athens, Greece, Tel: +30 210 6900685(Of), Mob: 6945540510, email:spyrosp71@gmail.com s.papathanasiou@solidus.gr 1