Quarterly data file
1996 - 4
(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 (%) |
| 961002 | NOVN | 12.857 |
| 961002 | DIGI | -10.001 |
| 961003 | EISI | -3.175 |
| 961003 | DIGI | -2.986 |
| 961004 | PCOL | 1.052 |
| 961004 | DNKY | 12.871 |
| 961007 | DRTK | 0.98 |
| 961007 | ASPX | -1.924 |
| 961008 | PROX | -4.396 |
| 961008 | HCIA | -10.925 |
| 961009 | APMC | -8.197 |
| 961009 | HCIA | -3.14 |
| 961010 | AMM | -3.659 |
| 961010 | ADTN | 9.523 |
| 961011 | AMM | -1.283 |
| 961011 | RIDE | 0 |
| 961014 | NETC | 13.157 |
| 961014 | SHVA | -0.565 |
| 961015 | PHYN | -2.174 |
| 961015 | DSTM | -9.757 |
| 961017 | VFI | 7.346 |
| 961017 | RXSD | 3.553 |
| 961018 | RTWI | -1.283 |
| 961018 | OO | 1.652 |
| 961022 | URBN | 3.305 |
| 961022 | MLTN | 21.212 |
| 961023 | SAM | 3 |
| 961023 | PASW | 25.944 |
| 961024 | LHSPF | 15.753 |
| 961024 | VTA | -0.453 |
| 961025 | HMTT | -3.739 |
| 961025 | AVEI | -5.001 |
| 961028 | TSIX | 5.714 |
| 961028 | EDS | 8.814 |
| 961029 | IMNT | 26.086 |
| 961029 | UOUT | 13.333 |
| 961030 | CNTO | 5.116 |
| 961030 | PPDI | 0.645 |
| 961031 | CTSC | 17.829 |
| 961031 | FLH | 1.388 |
| 961101 | CARN | -6.173 |
| 961101 | FLH | 12.546 |
| 961104 | BOBJY | 4.444 |
| 961104 | CARN | 5.714 |
| 961105 | ALLP | 24.571 |
| 961105 | ACCC | -0.736 |
| 961106 | HSTR | 3.076 |
| 961106 | SLOT | -3.265 |
| 961112 | SLOT | 12.863 |
| 961112 | INTS | 24.409 |
| 961113 | MTEL | 3.333 |
| 961113 | ATIS | 10.975 |
| 961115 | HMSY | 6.034 |
| 961115 | USSB | -8.572 |
| 961118 | ABRX | -3.642 |
| 961118 | USSB | 10.465 |
| 961119 | WIRL | 6.578 |
| 961119 | SYSF | -1.568 |
| 961121 | SEBL | 22.727 |
| 961121 | WTSLA | -7.921 |
| 961126 | WTSLA | 3.448 |
| 961126 | NETVA | 1.282 |
| 961127 | OLS | -1.786 |
| 961127 | INSS | 10.084 |
| 961129 | OLS | 0 |
| 961129 | SYSF | -11.565 |
| 961202 | TRV | -3.09 |
| 961202 | RPCX | 3.954 |
| 961204 | CCRO | 28.767 |
| 961204 | SYSF | 9.6 |
| 961205 | EAGL | -4.192 |
| 961205 | DANKY | 1.311 |
| 961206 | EAGL | -7.052 |
| 961206 | GAL | -15.076 |
| 961211 | CHK | 0.973 |
| 961211 | SSAX | 4.21 |
| 961212 | AAM | -3.285 |
| 961212 | FORE | -3.943 |
| 961213 | FORE | 9.16 |
| 961213 | KMAG | 2.162 |
| 961216 | GAL | -2.74 |
| 961216 | RGIS | -0.807 |
| 961217 | AGAM | 5.555 |
| 961217 | LCI | -13.726 |
| 961218 | LRCX | 8.181 |
| 961218 | PAYX | 4.336 |
| 961219 | SIH | -0.975 |
| 961219 | OSYS | 7.304 |
| 961220 | XYLN | 25.654 |
| 961220 | MWHS | 4.301 |
| 961224 | VANS | -1.099 |
| 961224 | ATCT | 7.446 |
| 961227 | PSSI | 8.181 |
| 961227 | CLE | 11.956 |
| 961231 | AEOS | 17.46 |
| 961231 | HLIT | 2.439 |
Number of trading days = 64
Average 3-day return (%) = 4.17 +/- 6.4
Risk/Return Ratio for 3-day return (for two stocks) = 1.53
Probability of positive pure daily returns = 75 %
Return(Risk/Return) for the first stock selected (%): 4.82 ( 1.81 )
Return(Risk/Return) for the second stock selected (%): 3.52 ( 2.61 )