Technical analysis is an important tool for investment in security market. This paper tests many technical trading rules in Shanghai and Shenzhen stock markets, including Dual Moving-average Crossover, Trading Range Break, Alexander Filter Rule and Relative Strength Index. Parameter optimization and out-of-sample test are employed to solve the data snooping problem. The results show that, after the deduction of transaction cost, technical analysis can still generate significant economical profit, which proves that the Chinese stock market is not efficient in weak form.