Quarterly data file
1996 - 1
(CLO1 - OPE4) strategy with selection of two stocks with maximum price drop during the
day #1
STOCK1 is the stock with maximum CLO1 - CLO0 price drop
DAY is the day of stock purchase (at CLO1 price)
RETURN is the stock price change (OPE4 - CLO1) in %
Look at statistics at the end of file
| DAY | TICKER | RETURN (%) |
| 960103 | VTEL | 9.756 |
| 960103 | XETA | 14.666 |
| 960104 | MCDY | 32.142 |
| 960104 | FTPS | 12.631 |
| 960105 | SYMC | -6.667 |
| 960105 | EXCA | -16.204 |
| 960108 | SYMC | 14.634 |
| 960108 | MANU | 12.195 |
| 960110 | SYNX | -1.961 |
| 960110 | IDTI | -0.622 |
| 960111 | Z | -1.15 |
| 960111 | ALN | 0.694 |
| 960112 | PSIX | -12.879 |
| 960112 | Z | 0 |
| 960115 | SYMM | -1.22 |
| 960115 | ASMIF | 7.092 |
| 960117 | BBN | 1.731 |
| 960117 | Z | -1.235 |
| 960118 | BBN | 12.727 |
| 960118 | Z | 12.82 |
| 960119 | GVIL | 20.618 |
| 960119 | TRID | 30.188 |
| 960122 | RIDE | 2.547 |
| 960122 | NIN | 7.531 |
| 960123 | RIDE | 12.142 |
| 960123 | LNOPF | -5.209 |
| 960124 | PLAT | -7.34 |
| 960124 | DURI | -2.326 |
| 960125 | PLAT | 0 |
| 960125 | DIMD | 15.172 |
| 960126 | SEI | 4.663 |
| 960126 | DNKY | 0 |
| 960129 | TWSTY | 8.904 |
| 960129 | DNKY | -0.981 |
| 960130 | AAPL | 5.72 |
| 960130 | ASAI | 5.594 |
| 960131 | CGNX | 23.595 |
| 960131 | UUNT | -2.581 |
| 960201 | NETC | 0 |
| 960201 | HYSW | 4.687 |
| 960202 | VH | 4.519 |
| 960202 | HYSW | 21.311 |
| 960205 | VLNT | 3.508 |
| 960205 | OLYM | 11.428 |
| 960207 | MXIS | 22.222 |
| 960207 | SCUR | -1.516 |
| 960208 | VLNT | 36.734 |
| 960208 | DNKY | 0 |
| 960213 | ROBV | 0.781 |
| 960213 | DAP | 12.716 |
| 960214 | PRGS | 0 |
| 960214 | EFII | 14.401 |
| 960215 | MERQ | -11.429 |
| 960215 | BAE | -6.897 |
| 960216 | CVTY | 1.538 |
| 960216 | DFS | -3.429 |
| 960223 | VLSI | 3.124 |
| 960223 | BEAM | 16.129 |
| 960227 | PSIX | -5.618 |
| 960227 | SPYG | -6.566 |
| 960229 | PRMS | 12.213 |
| 960229 | CLST | -7.043 |
| 960301 | MCHP | 4.39 |
| 960301 | CDTC | 8.108 |
| 960304 | CVN | 12.987 |
| 960304 | CMOS | 6.428 |
| 960305 | CLST | -1.613 |
| 960305 | RAIN | -6.251 |
| 960306 | MU | 5.579 |
| 960306 | EXGN | -12.5 |
| 960307 | NSCP | 24.516 |
| 960307 | PRXM | 4.575 |
| 960308 | HHC | -4.412 |
| 960308 | PRXM | 12.5 |
| 960312 | IDPH | 27.007 |
| 960312 | MLHR | -0.651 |
| 960312 | TEK | 6.772 |
| 960312 | IDXX | 14.906 |
| 960313 | IMUL | 2.127 |
| 960313 | FON | -0.35 |
| 960315 | TSEMF | 3.846 |
| 960315 | GEMS | -1.133 |
| 960318 | MRNR | -1.527 |
| 960318 | SYBS | 0.469 |
| 960320 | GILD | 3.964 |
| 960320 | SIGA | 10 |
| 960322 | BMET | -0.91 |
| 960322 | QDEK | -9.866 |
| 960325 | CUBE | 18.965 |
| 960325 | QDEK | 10.416 |
| 960327 | PRMS | 15.929 |
| 960327 | POT | 1.652 |
| 960328 | DR | -22.369 |
| 960328 | FLM | -10.715 |
| 960329 | EX | 0.534 |
| 960329 | RIDE | -11.712 |
| 960401 | ONTC | 2.325 |
| 960401 | SIII | -6.383 |
Number of trading days = 63
Average 3-day return (%) = 4.14 +/- 8.07
Risk/Return Ratio for 3-day return (for two stocks) = 1.94
Probability of positive pure daily returns, 66.6 %
Return(Risk/Return) for the first stock selected (%): 5.2 ( 2.13 )
Return(Risk/Return) for the second stock selected (%): 3.09 ( 2.95 )