Design and backtesting of a trading algorithm with scalping day strategy for XAU/USD FX market for individual traders

The thesis study was carried out to test the possibility of an individual investor to evaluate his savings by trading instead of classical methods such as savings accounts, both in terms of success rate and profitability. The tested algorithm makes decisions by simultaneously measuring the trend, momentum, and volatility of the market, which requires the coordinated operation of three different technical indicators. Within the scope of the thesis study, tens of technical indicators have been examined, and a total of ten technical indicators that will only be included in backtesting are explained in Chapter II. The suitability selections of the indicators were carried out according to the suitability of the embedded functions and general tendencies in the markets with high unit price, stable high volume, and low volatility in a 5-minute time interval. XAU/USD, chosen as the market, is an extremely high volume and generally stable market. Spot gold price changes are low in percentage. In markets where price fluctuations are high, a study beyond the limits of this study is required to ensure that the signal rate and profitability are at levels where it can be considered a reasonable investment. With backtesting, the algorithm designed for the study was run on 379176 five-minute candlestick data in a sixty-four-month period, according to the results from the system includes a trend indicator, momentum indicator, and volatility indicator. There are fifteen combinations in total. Backtesting results are listed by keeping the focus on return rates and profit percentages. Comparing the algorithmic trading results with the spot gold buy&hold strategy, USD savings account, and TRY savings account returns. After all comparisons, it is questioned whether the indicator system is a financially logical choice. The results of the study are shared in the appendix as tables and interpreted in Chapter IV.