Using technical analysis indicatorsis it possible to get supernormal return?NYSE and NASDAQ example

Thanks to the technological developments experienced today, many financial instruments are emerging that investors can invest in. Technical analysis, which is a popular method among investors who want to evaluate these financial instruments and make faster and more accurate investment decisions, finds a wide area of use. The frequent use of technical analysis among investors increases the need for accurate information on this type of analysis. In this thesis, 4540 stocks on the NASDAQ and NYSE Stock Exchanges of the USA were divided into 5-year sub-periods between 01.01-1985 and 31.12.2019 (1304 trading days) and BB, RSI STOCASTİK and HO indicators and BB-RSI and STOCASTİK-HO indicators have been analyzed as a strategy under the common heading of trading signals. Returns were obtained by using all indicators and common strategies. Portfolios of 10 were created by ordering the returns obtained from the smallest to the largest according to the standard deviation (risk criterion) values using the price data of the stocks. Whether the portfolio returns created cause investors to obtain above-normal returns using technical analysis was investigated with the Fama-French 3 Factor Asset Pricing Model. Alpha coefficient for a total of 840 portfolios in NYSE and NASDAQ Exchanges between 01.01-1985-31.12.2019 was statistically significant and took both positive and negative values. It has been concluded that this is incorrect pricing and it is not possible to obtain stable above-normal returns using technical analysis, since the portfolio returns obtained using technical analysis vary from period to period, from indicator to indicator. In addition, there is no linear relationship between portfolios classified according to their standard deviation (risk criterion) values and returns. However, in the 2005-2009 sub-period of 2008 global financial crisis, when risk and uncertainty were high, all portfolios of NASDAQ and NYSE Stock Exchanges had abnormal returns