Quarterly data file
1996 - 2
(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 (%) |
| 960402 | VOCLF | 5.555 |
| 960402 | BEAM | -1.667 |
| 960403 | IFMX | 13.97 |
| 960403 | SCTC | 5.699 |
| 960404 | SEPR | -7.907 |
| 960404 | EX | 0.558 |
| 960408 | PRXM | 8.461 |
| 960408 | SEPR | -3.81 |
| 960409 | SEPR | 3.03 |
| 960409 | ORCL | 6.325 |
| 960410 | VSNR | 19.047 |
| 960410 | RIDE | 3.529 |
| 960411 | CLST | -2.942 |
| 960411 | CYBE | 1.086 |
| 960412 | BEAM | -3.206 |
| 960412 | VJET | -1.53 |
| 960417 | LLY | 8.849 |
| 960417 | MNPI | -4.664 |
| 960418 | QCOM | 13.469 |
| 960418 | SERA | 11.999 |
| 960419 | PKE | -1.112 |
| 960419 | CYBE | 3.896 |
| 960422 | PKE | 9.09 |
| 960422 | CYBE | 7.792 |
| 960423 | VJET | 4.402 |
| 960423 | PAGE | 7.428 |
| 960424 | NWAC | 1.28 |
| 960424 | GLD | 4.273 |
| 960425 | RLM | 1.16 |
| 960425 | NWAC | 4.298 |
| 960429 | CNXS | 6.06 |
| 960429 | DSCP | 3.496 |
| 960501 | RXR | -1.622 |
| 960501 | HS | 3.345 |
| 960502 | SDRC | 0.862 |
| 960502 | BLY | 3.125 |
| 960503 | HDCO | -4.485 |
| 960503 | WWY | -0.752 |
| 960506 | MME | -1.949 |
| 960506 | AZA | 3.72 |
| 960507 | ASM | 11.888 |
| 960507 | SDRC | -2.284 |
| 960508 | CXIPY | 2.857 |
| 960508 | VJET | -27.858 |
| 960509 | MCK | 1.416 |
| 960509 | GND | 3.305 |
| 960510 | MNPI | 11.377 |
| 960510 | SUIT | 2.88 |
| 960513 | UNH | 1.382 |
| 960513 | BC | 0 |
| 960514 | STAT | -10.639 |
| 960514 | HS | 7.65 |
| 960515 | OREX | -11.927 |
| 960515 | STAT | 0 |
| 960516 | VJET | -14.419 |
| 960516 | BRG | 1.388 |
| 960517 | CGNX | -8.054 |
| 960517 | CYBE | 15.517 |
| 960520 | VJET | 15.555 |
| 960520 | ESOL | 0.44 |
| 960521 | CGNX | 10.294 |
| 960521 | LIPO | 2.631 |
| 960522 | FTSP | 6.666 |
| 960522 | CGNX | 13.207 |
| 960524 | CCJ.PP | 8.743 |
| 960524 | ATML | -0.583 |
| 960529 | TCPI | 14.634 |
| 960529 | VCAI | 8.152 |
| 960603 | INTV | 0.588 |
| 960603 | DGN | 8.999 |
| 960604 | BORL | -9.279 |
| 960604 | MNPI | -6.57 |
| 960605 | MNPI | 11.904 |
| 960605 | GANDF | -12.245 |
| 960606 | MWHS | 3.825 |
| 960606 | GANDF | 1.234 |
| 960607 | APM | -3.509 |
| 960607 | ARRO | 8.571 |
| 960610 | KMET | -1.38 |
| 960610 | AVX | -3.948 |
| 960611 | GANDF | -5.334 |
| 960611 | CDTX | 2.272 |
| 960612 | EDMK | 0 |
| 960612 | MWHS | -3.371 |
| 960614 | MNPI | -6.482 |
| 960614 | CUBE | -6.383 |
| 960617 | CAMP | -1.631 |
| 960617 | AFFI | -8.511 |
| 960619 | PNET | -5.264 |
| 960619 | LRCX | -4.226 |
| 960621 | LCOS | -1.177 |
| 960621 | CMSB | -0.297 |
| 960626 | DNA | -2.548 |
| 960626 | VTSS | 33.333 |
| 960627 | DANKY | 8.035 |
| 960627 | MCLL | 12.499 |
| 960628 | BSST | 0 |
| 960628 | MCTH | 2.083 |
| 960701 | MNTX | 1.754 |
| 960701 | UTR | -2.581 |
Number of trading days = 61
Average 3-day return (%) = 1.96 +/- 5.76
Risk/Return Ratio for 3-day return (for two stocks) = 2.93
Probability of positive pure daily returns, 63.9 %
Return(Risk/Return) for the first stock selected (%): 2.08 ( 3.6 )
Return(Risk/Return) for the second stock selected (%): 1.84 ( 4.34 )