Список проголосовавших за комментарий "Попробовал обсчитать эту стратегию на исторических данных при 5% стопе и 0% проскальзывании. Получается, что стратегия в 2018 оказалась в небольшом минусе. Количество убыточных недель чуть выше прибыльных.<br/> <br/> Если считать с 2014-года, то появляется плюс, но он сопоставим с банковским депозитом.<br/> <br/> Откуда у вас прибыль берется?<br/> <br/> Вот данные для расчетов:<br/> <br/> первая колонка — дата<br/> вторая — список акций с ростом за предыдущую неделю<br/> третья — суммарный результат за текущую неделю<br/> четвертая — итоговый капитал<br/> <br/> От исходного капитала осталось 95%<br/> <br/> <p>2018-01-22: List((RSTI,13.41), (FEES,12.50), (ALRS,9.92), (TATN,9.46), (IRAO,8.41), (SNGSP,7.31), (RASP,7.19), (HYDR,5.26), (GAZP,5.11), (SNGS,5.06)) -> 97.92892373788578% -> 97.92892373788578<br/> 2018-01-29: List((SIBN,4.13), (MOEX,4.05), (ROSN,4.02), (SBERP,3.65), (MTSS,2.74), (SBER,2.66), (TATN,2.02), (NVTK,1.52), (MVID,1.34), (SNGS,1.19)) -> 99.72696567001887% -> 97.66154415710031<br/> 2018-02-05: List((MVID,4.48), (RSTI,3.37), (ALRS,3.11), (SBER,2.06), (NVTK,1.86), (RTKM,0.83), (AFLT,0.58), (SIBN,0.57), (MSNG,0.37), (GMKN,0.36)) -> 98.1161117724711% -> 95.82170982390176<br/> 2018-02-12: List() -> 0.0% -> 95.82170982390176<br/> 2018-02-19: List((NLMK,6.40), (TATN,6.16), (MTLR,6.10), (RASP,4.95), (SBER,4.63), (PHOR,3.74), (MFON,3.55), (MAGN,3.52), (CHMF,3.48), (TRNFP,2.86)) -> 102.23706795118903% -> 97.96530658465362<br/> 2018-02-26: List((VTBR,25.00), (MGNT,12.99), (SBERP,9.95), (GMKN,6.29), (GAZP,6.28), (TATN,5.79), (ROSN,5.49), (SNGSP,4.96), (SBER,4.92), (RASP,4.59)) -> 97.93007543876942% -> 95.93749864217303<br/> 2018-03-05: List((MGNT,6.81), (AFLT,6.53), (MFON,3.96), (SIBN,2.53), (RTKM,1.87), (MOEX,1.74), (MSNG,0.74), (RASP,0.65), (IRAO,0.53), (NVTK,0.33)) -> 100.95362533798328% -> 96.85238293785216<br/> 2018-03-12: List((AFLT,5.90), (ALRS,2.93), (SNGS,1.78), (NLMK,1.73), (RSTI,1.22), (MOEX,1.20), (NVTK,1.14), (LKOH,1.07), (TATN,1.06), (IRAO,1.06)) -> 100.00965643399798% -> 96.86173542428601<br/> 2018-03-19: List((ALRS,2.71), (MVID,2.49), (SNGSP,1.80), (NVTK,1.64), (MTSS,1.44), (LKOH,1.19), (MOEX,0.93), (TATN,0.69), (ROSN,0.41), (AFLT,0.31)) -> 98.44475779407816% -> 95.35530083357916<br/> 2018-03-26: List() -> 0.0% -> 95.35530083357916<br/> 2018-04-02: List((MSNG,6.50), (MFON,5.90), (HYDR,5.56), (LKOH,4.09), (SIBN,3.71), (IRAO,3.49), (PHOR,3.40), (TRNFP,2.25), (MTSS,1.67), (GAZP,1.48)) -> 95.44149896369592% -> 91.00852845690959<br/> 2018-04-09: List() -> 0.0% -> 91.00852845690959<br/> 2018-04-16: List((TATN,8.93), (MTLR,8.64), (PHOR,8.25), (GMKN,7.96), (LKOH,7.51), (CHMF,6.93), (ROSN,6.51), (HYDR,5.71), (IRAO,5.46), (SNGSP,4.95)) -> 104.28072312188166% -> 94.90435157744876<br/> 2018-04-23: List((SBER,16.24), (RSTI,15.07), (SBERP,13.97), (RASP,12.16), (ROSN,10.03), (MTLR,9.94), (GMKN,9.85), (MFON,9.64), (MAGN,8.39), (CHMF,7.49)) -> 101.83309568419654% -> 96.64403915032969<br/> 2018-04-30: List((ROSN,9.12), (RASP,6.70), (MOEX,6.25), (CHMF,5.19), (NLMK,4.72), (LKOH,4.59), (IRAO,3.90), (MAGN,3.84), (NVTK,3.54), (MTSS,3.22)) -> 98.08898383148616% -> 94.79715593626204<br/> 2018-05-07: List((GMKN,3.11), (SIBN,2.37), (MVID,2.07), (ROSN,1.37), (TRNFP,1.36), (SBER,1.26), (SNGSP,1.13), (RASP,0.40), (ALRS,0.39), (RTKM,0.33)) -> 100.4047790236029% -> 95.18087493846416<br/> 2018-05-14: List((LKOH,6.95), (GAZP,4.80), (TATN,4.75), (ROSN,3.94), (NLMK,3.73), (SBER,3.45), (SBERP,3.20), (SIBN,3.04), (NVTK,2.69), (SNGS,2.39)) -> 98.30547693304791% -> 93.56801305730507<br/> 2018-05-21: List((FEES,5.88), (ALRS,4.62), (MGNT,4.01), (SNGSP,2.65), (MFON,2.18), (MSNG,1.54), (MTSS,1.47), (GMKN,1.34), (SIBN,0.72), (RTKM,0.54)) -> 99.69735949893608% -> 93.28483835375289<br/> 2018-05-28: List((MAGN,3.87), (NVTK,3.54), (MSNG,2.66), (GMKN,2.27), (CHMF,1.94), (ALRS,1.67), (SIBN,1.15), (IRAO,1.00), (RTKM,1.00), (NLMK,0.74)) -> 100.4927032787508% -> 93.74445581089921<br/> 2018-06-04: List((RTKM,4.80), (NVTK,4.80), (AFLT,4.22), (NLMK,3.02), (MVID,2.82), (IRAO,2.73), (GMKN,2.72), (ROSN,1.41), (SNGS,1.39), (MOEX,1.38)) -> 99.8672532974951% -> 93.62001313702908<br/> 2018-06-11: List((RASP,10.15), (MTLR,5.66), (AFLT,4.08), (RTKM,3.51), (CHMF,2.81), (SIBN,2.50), (TRNFP,1.77), (NLMK,1.69), (MAGN,1.12), (ALRS,0.55)) -> 97.26420648510036% -> 91.05876288897804<br/> 2018-06-18: List() -> 0.0% -> 91.05876288897804<br/> 2018-06-25: List((ALRS,11.59), (RTKM,6.10), (TATN,4.94), (NVTK,3.70), (LKOH,2.34), (GMKN,2.12), (TRNFP,1.99), (ROSN,1.80), (HYDR,1.49), (MOEX,1.03)) -> 101.27665622465139% -> 92.22127025349072<br/> 2018-07-02: List((SBER,9.14), (MTSS,7.23), (NVTK,6.05), (MTLR,5.74), (LKOH,5.70), (GAZP,5.03), (SIBN,4.84), (MFON,3.89), (SBERP,3.25), (GMKN,2.79)) -> 102.42809276512148% -> 94.46048824441885<br/> 2018-07-09: List((SNGSP,6.93), (MTLR,6.07), (MAGN,5.89), (FEES,5.56), (IRAO,5.41), (SIBN,4.73), (SBER,4.07), (SBERP,3.48), (CHMF,3.43), (ROSN,3.41)) -> 98.64745796474314% -> 93.18287043420423<br/> 2018-07-16: List() -> 0.0% -> 93.18287043420423<br/> 2018-07-23: List() -> 0.0% -> 93.18287043420423<br/> 2018-07-30: List((MAGN,7.46), (GMKN,5.35), (NVTK,4.23), (SNGSP,4.07), (TATN,3.58), (ROSN,3.03), (CHMF,2.64), (NLMK,2.44), (SNGS,2.12), (RTKM,1.80)) -> 101.3392437044031% -> 94.43081616007642<br/> 2018-08-06: List((MVID,7.35), (RTKM,3.78), (MAGN,3.23), (ROSN,3.17), (MFON,2.74), (NVTK,2.00), (TATN,1.94), (GAZP,1.76), (LKOH,1.56), (CHMF,1.49)) -> 100.50023756632238% -> 94.90319457669395<br/> 2018-08-13: List((SNGSP,6.52), (MFON,4.93), (ROSN,4.26), (TATN,3.63), (NVTK,3.57), (GMKN,2.18), (LKOH,1.38), (GAZP,1.10), (SIBN,1.01), (ALRS,0.20)) -> 99.35782079473758% -> 94.2937459959927<br/> 2018-08-20: List((AFLT,3.03), (RASP,2.86), (PHOR,2.85), (MAGN,2.54), (CHMF,2.46), (NVTK,2.28), (IRAO,1.77), (MGNT,1.71), (HYDR,1.61), (SBERP,1.59)) -> 101.11098325531694% -> 95.34133372481925<br/> 2018-08-27: List((NVTK,9.07), (MTLR,6.06), (PHOR,5.24), (CHMF,4.60), (LKOH,4.35), (TATN,4.27), (ALRS,2.68), (MTSS,2.35), (GAZP,2.13), (ROSN,1.81)) -> 101.49122155008641% -> 96.76308423946355<br/> 2018-09-03: List((AFLT,7.86), (SNGSP,6.18), (NLMK,5.25), (PHOR,5.22), (MTSS,3.31), (LKOH,3.30), (MVID,3.10), (GAZP,2.91), (ALRS,2.59), (MAGN,2.29)) -> 100.32812671857063% -> 97.08058977256624<br/> 2018-09-10: List((MFON,10.09), (NVTK,4.58), (PHOR,4.19), (ALRS,4.00), (TATN,3.13), (ROSN,2.44), (GAZP,1.36), (SNGSP,0.94), (MAGN,0.84), (NLMK,0.83)) -> 99.7182619979403% -> 96.80707685855324<br/> 2018-09-17: List((VTBR,33.33), (TRNFP,10.74), (SBER,9.87), (IRAO,9.70), (MSNG,8.42), (MTSS,8.13), (RASP,7.60), (SBERP,7.25), (FEES,6.67), (MFON,6.15)) -> 100.19934577842524% -> 97.00005767948765<br/> 2018-09-24: List((MTLR,22.78), (RASP,7.02), (SBERP,6.74), (SBER,5.66), (MAGN,4.37), (SIBN,3.50), (NVTK,3.44), (GMKN,3.26), (LKOH,3.22), (NLMK,3.07)) -> 101.43553655627487% -> 98.3925289670844<br/> 2018-10-01: List((ROSN,10.51), (SIBN,7.34), (TATN,6.26), (NVTK,5.74), (LKOH,4.94), (MSNG,4.55), (RASP,3.09), (TRNFP,2.90), (SBER,2.74), (SNGSP,2.56)) -> 99.21044180647819% -> 97.61566269281147<br/> 2018-10-08: List((GAZP,6.13), (RSTI,5.63), (RASP,4.94), (SIBN,4.42), (MFON,3.57), (PHOR,2.55), (HYDR,1.64), (MTLR,1.44), (RTKM,0.73), (NLMK,0.68)) -> 97.59669314190955% -> 95.26965877674469<br/> 2018-10-15: List() -> 0.0% -> 95.26965877674469<br/> 2018-10-22: List() -> 0.0% -> 95.26965877674469<br/> 2018-10-29: List((LKOH,4.26), (SBERP,3.00), (SBER,2.71), (MVID,2.46), (AFLT,1.79), (SIBN,1.63), (SNGSP,1.61), (NVTK,1.56), (MGNT,1.55), (NLMK,0.85)) -> 103.11005455072082% -> 98.23259713498703<br/> 2018-11-12: List() -> 0.0% -> 98.23259713498703<br/> 2018-11-19: List((RASP,17.65), (NVTK,6.92), (MOEX,3.30), (MTLR,2.60), (GAZP,2.13), (AFLT,1.88), (NLMK,1.42), (GMKN,1.19), (PHOR,1.05), (MVID,0.83)) -> 99.19213187367127% -> 97.43900729306857<br/> 2018-11-26: List() -> 0.0% -> 97.43900729306857<br/> 2018-12-03: List((MSNG,12.57), (GAZP,10.61), (LKOH,10.29), (SIBN,9.46), (GMKN,7.17), (ROSN,6.63), (SBER,6.26), (TATN,5.40), (IRAO,5.14), (NVTK,4.90)) -> 98.23703781139535% -> 95.72119443754005<br/> 2018-12-10: List() -> 0.0% -> 95.72119443754005</p>"