Quarterly data file
1997 - 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 (%) |
| 970103 | WTEC | -3.798 |
| 970103 | CPU | -1.667 |
| 970106 | CPU | 9.008 |
| 970106 | MACR | -2.587 |
| 970107 | ANF | 10.576 |
| 970107 | MACR | -32.744 |
| 970108 | MACR | -28.774 |
| 970108 | SRM | 3.333 |
| 970109 | BRKT | 20.481 |
| 970109 | LOEH | -7.383 |
| 970114 | CYBG | 8.108 |
| 970114 | OSII | 11.32 |
| 970115 | MGX | -9.091 |
| 970115 | FORE | 14.41 |
| 970116 | CLFY | -0.758 |
| 970116 | AAPL | 1.492 |
| 970120 | TSA | 8.823 |
| 970120 | DNA | -0.782 |
| 970122 | WSTL | 11.304 |
| 970122 | IDTI | 0 |
| 970123 | NELL | -0.73 |
| 970123 | WSTL | 11.403 |
| 970124 | FGAS | 2.118 |
| 970124 | TJX | -3.031 |
| 970127 | FAST | -1.004 |
| 970127 | ARG | -1.887 |
| 970129 | DISH | 6.504 |
| 970129 | MICA | 15.686 |
| 970130 | PCTL | 2.758 |
| 970130 | RATL | -0.459 |
| 970203 | ANF | 1.886 |
| 970203 | ACCS | 0.444 |
| 970204 | STMD | 3.614 |
| 970204 | SDLI | 8.75 |
| 970205 | COMS | 16.173 |
| 970205 | DWRX | 10.294 |
| 970206 | FRTZ | 6.818 |
| 970206 | PTB | 2.684 |
| 970207 | GEMS | 4.424 |
| 970207 | ACF | -2.223 |
| 970210 | PRMS | -7.237 |
| 970210 | CWEI | 17.171 |
| 970211 | JBIL | 13.492 |
| 970211 | SFC | 17.808 |
| 970212 | LCCI | 5.882 |
| 970212 | QLGC | 12.195 |
| 970214 | DNA | 4.999 |
| 970214 | DEZI | -4.546 |
| 970218 | CUBE | -0.468 |
| 970218 | BBOX | -14.645 |
| 970219 | PERI | 6.382 |
| 970219 | BBOX | -5.07 |
| 970221 | CSCC | 22.33 |
| 970221 | SISGF | -6.879 |
| 970224 | WCII | 37.714 |
| 970224 | MLR | 0.934 |
| 970225 | ATLS | -10.216 |
| 970225 | PRST | 9.09 |
| 970226 | DSPC | -17.797 |
| 970226 | ATLS | -5.814 |
| 970227 | HALO | -0.863 |
| 970227 | PEGA | 1.03 |
| 970228 | PERI | 39.583 |
| 970228 | MDRX | 10.043 |
| 970303 | DSPC | -1.191 |
| 970303 | NU | 2.597 |
| 970304 | ZITL | 11.21 |
| 970304 | DSPC | -1.22 |
| 970305 | DSPC | 12.694 |
| 970305 | TSCC | 0.462 |
| 970311 | ELNK | 0.584 |
| 970311 | SYSF | -8.14 |
| 970313 | SISGF | 2.298 |
| 970313 | CBTSY | -6.286 |
| 970314 | ESOL | 5.882 |
| 970314 | PRMS | -5.427 |
| 970317 | PPH | -5.103 |
| 970317 | PLAT | 9.604 |
| 970318 | TEAM | 0.729 |
| 970318 | JMED | 2.617 |
| 970319 | TRID | -6.957 |
| 970319 | ODSI | -3.35 |
| 970320 | TRID | 5.882 |
| 970320 | PPH | 10.588 |
| 970321 | FMAC | -9.334 |
| 970321 | NRES | 19.672 |
| 970324 | ADTN | 15.846 |
| 970324 | CTYS | 5.333 |
| 970326 | ANET | 3.333 |
| 970326 | IMNT | 0 |
| 970327 | IMNT | -1.819 |
| 970327 | PHYS | -16.217 |
| 970331 | HCIA | 13.432 |
| 970331 | CELL | 1.538 |
| 970401 | DLGC | -13.816 |
| 970401 | COL | 0.757 |
Number of trading days = 61
Average 3-day return (%) = 2.84 +/- 7.11
Risk/Return Ratio for 3-day return (for two stocks) = 2.5
Probability of positive pure daily returns = 70.4 %
Return(Risk/Return) for the first stock selected (%): 3.16 ( 3.6 )
Return(Risk/Return) for the second stock selected (%): 2.51 ( 3.76 )