Okay, so from the comments you're renting a house and have house mates you don't fully trust. Your bedroom does not have a lock that you can lock when you leave.

The best way would be to replace the bedroom door knob with a keyed entry door knob. Most bedroom knobs only lock from the inside and can be popped really easily with an Allen wrench.

A keyed entry set usually is used on an outside door and you would lock it on the outside with a key and a turn on the inside knob.

If you have a standard door it is super easy to swap. I'd talk to your landlord and get permission to swap the handle in writing.