We perform a comprehensive Monte Carlo comparison between five procedures available in the literature to detect jumps in financial assets-Andersen et al. (2007), Lee and Mykland (2008), the Aït-Sahalia and Jacod (2008), the Barndorff-Nielsen and Shephard (2006a), the Jiang and Oomen (2008), and the Podolskij and Ziggel (2008). We evaluate size and power properties of the procedures under alternative sampling frequencies, levels of volatility, persistence in volatility, degree of contamination with microstructure noise, jump size and intensity. Using high frequency data for US Treasury bonds, we compare the performance of the alternative tests. Though overall the best performance is showed by the Lee and Mykland (2008) and Andersen et al. (2007) intraday procedures, however we show the validity to use reunion and intersection across procedures and across sampling frequencies for potential users of the tests to minimise spurious jump detection.