Comparing abnormal returns and ranking of technical analysis indicators based on TOPSIS Technique

Abstract

This paper is about using TOPSIS technique for ranking of investment based on technical analysis indicators. Sample data Include; 10 listed Dow-Johns companies, Yahoo, Facebook, Google, Apple, Microsoft, General Electric, Coca Cola, Cisco, Boeing and Bank of America. "between beginnings of 2009 to the end of 2014". In addition, it presents a Technique for Order of profitability by Similarity to Ideal Solution to evaluate technical indicators. Consequently, by this ranking we can determine the relative importance of indicators to make the best investment decision. According to results, all the technical analysis indicators used in this research, can find profitable trading prices and all the returns are more than zero. The summary of results for this sub-period describe that in order, MACD with a mean of (1), RSI with a mean of (0.69), SMA with mean of (0.54), STO with a mean of (0.52), CCI with a mean of (0.36) and MFI with a mean of (0), everyone has an abnormal return greater than the average market return rate with a mean of 0.014.