Comparing Profitability and Ranking of Technical Analysis Indicators Based on TOPSIS Technique

Abstract

The present research is about investment effectiveness ranking based on technical analysis indicators by TOPSIS technique. This research is kind of experimental post facto research. sample data Include copper, palladium, oil, gold, silver, wheat, sugar and dollar index “between beginning of 2008 to the end of 2013”. When the investment strategies are evaluated from above aspects, it can be regarded as a multi-criteria decision-making (MCDM) problem. In addition, it presents a non-additive Technique for Order of Preference by Similarity to Ideal Solution to evaluate technical indicators. Consequently, By ranking TOPSIS Technique performance values, we can determine the relative importance of criteria and make the best investment decision. According to results all the technical analysis indicators which used in 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 row, STO with a mean of (0.059), RSI with a mean of (0.055), CCI with mean of (0.052), MACD with a mean of (0.048), and MFI with a mean of (0.046) everyone has an abnormal return greater than the risk-free interest rate with a mean of 0.004.