Первичный анализ пригодности акций для включения в активную торговую стратегию

Abstract

The article lists the problems inherent to the Russian stock market at the present stage, special attention is paid to the liquidity issues. The authors evaluate the shares of all issuers listed on the Moscow Stock Exchange for the possibility of their inclusion in an active strategy based on average trading volumes. The article calculates the effectiveness of using the methods of average values in assessing the compliance of the selected instruments with the minimum required liquidity values. In the course of the work, the industry features of the Russian market are taken into account. The classifier of the Moscow Exchange is used to distribute issuers by industry. In parallel, the liquidity imbalance between the branches of the Russian stock market is being investigated. The conclusion is given about the real number of stock market instruments suitable for use in active trading strategies. The result of the study is a formed set of shares distributed by industry.