Algorithm use in stock markets: Turtle Trade application in Borsa Istanbul

Today, computer technologies and algorithms have developed rapidly, and these technologies have been actively used in financial markets. With the help of algorithms, buy-sell signals are produced in financial markets, and profit maximization can be achieved through investments made in line with these signals. The important point for investors in the use of buy-sell signals produced by algorithms is to obtain the highest possible profit in profitable transactions and to close out the position with the least possible loss in harmful transactions. The purpose of writing this thesis is to measure the return performance of investments made using the algorithmic trading method based on the Turtle Trade strategy and to compare the return performance obtained with the return performance of various indicators commonly used in the markets. Within the scope of the study, 500 trading days between 30 April 2020 and 12 May 2022 of the companies included in the Borsa Istanbul BIST30 index were taken into account. As a result of the study, it was seen that the Turtle Trade method provided significantly better return performance compared to the indicators evaluated. The results obtained will contribute to the investors' ability to develop different investment strategies in algorithmic trading.