Continuous trading strategy proposal for algorithmictrading in financial markets

Algorithms are structures that provide solutions to different problems and do so within a systematic framework. Algorithms have been present in many areas of our lives for a long time, and their usage is increasing rapidly with the fast-paced advancement of technology. Naturally, algorithms and computers are also heavily utilized in financial markets. Technical analysis, which examines patterns in market data to determine trends, has evolved into a method involving automatic transactions performed by 'robots' that use algorithms, as financial markets keep up with these technological developments. Investors need to develop algorithmic systems when making investment decisions. Algorithmic trading (AT) systems are mechanical systems that reduce the impact of investor psychology when determining investment strategies. In this study, a strategy was developed to determine whether AT is an applicable method for making decisions related to strategy development and selection. This strategy, called continuous trading, was applied to AT transactions using the stock exchange market data of Borsa İstanbul (BIST). The coding of the strategy used in the application was done, a database was created, and the strategy was connected to a robot. All transactions made by the robot and the returns obtained were recorded in the database. The applicability of the continuous trading strategy for AT on the stocks in the BIST30 index was tested and interpreted. The proposed strategy was successful in flat and declining markets but did not show the same success in rising markets. Additionally, according to Markowitz's (1952) modern portfolio theory, the returns of various portfolios formed with the mean variance model have been examined. In addition, it has been investigated whether the BIST30 index aligns with the efficient market hypothesis (EMH) using this strategy. Since it is possible to obtain above-market returns, the hypothesis has not been supported.. Keywords: Algorithmic Trading (AT), Continuous Trading Strategy, AT Strategies, Stock, Istanbul Stock Exchange (ISE)