Publication: Teknik analiz ve algoritmik işlemler : BIST100 endeksi üzerine bir uygulama
Abstract
Menkul kıymetler halka arz olunduktan sonra belli bir arz talep döngüsü içerisinde serbest piyasada fiyatlanırlar. Fiyatlanma birçok sebebe bağlı olabileceği gibi bu sebeplerin yorumlanması ve sonuçlanması da birçok yöntemle olabilecektir. Uzunca bir süre ''değer yatırımcılığı'' mantığıyla yatırım yapmanın popüler olduğu dönemler, artık yerini daha kısa vadeli işlemlere, daha hızlı sonuçlara, dolayısıyla daha hızlı fiyatlanmaların olduğu teknik ve stratejik işlemlere bırakmaktadır. Özellikle fiyat dalgalanmalarının ve volatilitenin arttığı son zamanlarda, teknik analizin içerisinde barındırdığı algoritmalara olan ilgi günden güne artmaktadır. Geçmişe ait verilerin her geçen gün artması ve piyasa hacimlerinin derinleşmesiyle algoritmalar, manuel işlemlere oranla çok daha yüksek emir iletim hızları ve duygu barındırmayan mekanizmaları ile her geçen gün popülerliği artan araçlardır. Basit temelli bir sistem dahi tarihsel veri analizi ve enstrümana odaklı optimizasyonları ile yatırımcılara istatistiki ve ölçümlenebilir işlemler yapma imkânı sunar. Çalışmada, teknik analizin içerdiği temel formasyonlar, indikatörler ve algoritmik işlemlerde kurgu, tasarım ve uygulamalara ait aşamalar anlatılmıştır. Çalışmanın uygulama bölümünde, algoritmaların BIST100 endeksi üzerine entegrasyonu, filtreleme mekanizmaları ve kurgu-tasarım aşamaları, istatistiksel olarak incelenmiştir.
After the securities are offered to the public, they are priced in the free market within a certain supply and demand cycle. This pricing can be due to many reasons, as well as the interpretation and conclusion of these reasons can be done in many ways. The periods when it was popular to invest with the logic of value investing for a long time are now being replaced by shorter-term transactions, faster results, and therefore technical and strategic transactions with faster pricing. Especially in recent times when price fluctuations and volatility have increased, the interest in algorithms in technical analysis is increasing day by day. With the increase in historical data and the deepening of market volumes, algorithms are tools that are increasing in popularity day by day with their much higher order transmission speeds and emotionless mechanisms compared to manual transactions. Even a simple-based system offers investors the opportunity to make statistical and measurable transactions with historical data analysis and instrument-oriented optimizations. In this study, the basic formations, indicators, and algorithmic processes in technical analysis are explained. In the application part of the study, the integration of algorithms on the BIST100 index, filtering mechanisms, and the editing-design stages were analyzed statistically.
After the securities are offered to the public, they are priced in the free market within a certain supply and demand cycle. This pricing can be due to many reasons, as well as the interpretation and conclusion of these reasons can be done in many ways. The periods when it was popular to invest with the logic of value investing for a long time are now being replaced by shorter-term transactions, faster results, and therefore technical and strategic transactions with faster pricing. Especially in recent times when price fluctuations and volatility have increased, the interest in algorithms in technical analysis is increasing day by day. With the increase in historical data and the deepening of market volumes, algorithms are tools that are increasing in popularity day by day with their much higher order transmission speeds and emotionless mechanisms compared to manual transactions. Even a simple-based system offers investors the opportunity to make statistical and measurable transactions with historical data analysis and instrument-oriented optimizations. In this study, the basic formations, indicators, and algorithmic processes in technical analysis are explained. In the application part of the study, the integration of algorithms on the BIST100 index, filtering mechanisms, and the editing-design stages were analyzed statistically.