Quarterly data file
1996 - 3
(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 (%) |
| 960703 | ASGR | 15.463 |
| 960703 | PRZM | 7.142 |
| 960705 | IPEC | -3.175 |
| 960705 | RAYS | 13.669 |
| 960709 | CBB | -5.32 |
| 960709 | WKGP | -16.667 |
| 960710 | OCCF | -6.251 |
| 960710 | MACR | 7.499 |
| 960711 | AORI | 12.499 |
| 960711 | CPTS | -4.762 |
| 960712 | ANN | 0 |
| 960712 | CPTS | -2.501 |
| 960715 | GBOT | 34.042 |
| 960715 | ADSK | 2.976 |
| 960716 | ADSK | 11.999 |
| 960716 | SDRC | 23.985 |
| 960717 | BOP | -4.061 |
| 960717 | DDIM | 16.47 |
| 960718 | NKOT | 2.739 |
| 960718 | AMER | 0 |
| 960722 | NN | 0.862 |
| 960722 | PRMS | -1.493 |
| 960723 | GSMS | 10.638 |
| 960723 | PCMS | 14.641 |
| 960724 | SHVA | 11.34 |
| 960724 | SRA | 2.068 |
| 960725 | ATSW | 23.809 |
| 960725 | SRA | 7.299 |
| 960726 | USRX | 3.301 |
| 960726 | GSMS | -10.068 |
| 960729 | ACNTF | 18.181 |
| 960729 | NSCP | -1.243 |
| 960730 | GSMS | 13.868 |
| 960730 | CDCO | 2.307 |
| 960801 | CKFR | 8.988 |
| 960801 | VH | 2.419 |
| 960806 | FSCX | -2.47 |
| 960806 | GND | -2.986 |
| 960808 | BOG | 2.272 |
| 960808 | GND | 0.769 |
| 960809 | VLNT | 1.265 |
| 960809 | SCIXF | 0.934 |
| 960814 | ALDNF | 5.333 |
| 960814 | PSSI | 8.846 |
| 960815 | PSSI | 21.666 |
| 960815 | BBTK | 7.317 |
| 960816 | IMNT | 6.557 |
| 960816 | RAPT | 3.278 |
| 960819 | IMNT | 26.495 |
| 960819 | HCIA | 1.622 |
| 960820 | NPPI | 3.846 |
| 960820 | HCIA | 1.477 |
| 960822 | VCI | -0.82 |
| 960822 | ACNTF | 4.21 |
| 960826 | SKEY | 10.655 |
| 960826 | EISI | 7.377 |
| 960828 | PMSI | 7.954 |
| 960828 | SUN | -1.571 |
| 960903 | URMD | 2.564 |
| 960903 | AWA | -2.804 |
| 960904 | DOCI | 7.692 |
| 960904 | ROTC | 1.709 |
| 960905 | ALRN | 7.619 |
| 960905 | GART | 11.415 |
| 960906 | IRF | 2.857 |
| 960906 | MCSY | 0 |
| 960910 | WHC | 8.749 |
| 960910 | MACR | 13.333 |
| 960911 | WFR | 0 |
| 960911 | THTX | 4.854 |
| 960913 | WFR | 14.723 |
| 960913 | MOVI | -3.158 |
| 960923 | WFMI | 18.749 |
| 960923 | PCMS | 18.749 |
| 960925 | WTSLA | 11.29 |
| 960925 | HOLX | -4.386 |
| 960926 | AVID | 6.73 |
| 960926 | GES | -3.637 |
| 960927 | WCII | 8.871 |
| 960927 | HM | 3.448 |
| 960930 | DIGI | -25 |
| 960930 | CENT | 4.968 |
Number of trading days = 62
Average 3-day return (%) = 4.43 +/- 6.92
Risk/Return Ratio for 3-day return (for two stocks) = 1.56
Probability of positive pure daily returns = 79 %
Return(Risk/Return) for the first stock selected (%): 5.95 ( 1.72 )
Return(Risk/Return) for the second stock selected (%): 2.92 ( 2.61 )