Quarterly data file
1997 - 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 (%) |
| 970402 | REDB | 1.388 |
| 970402 | PHYS | -4.211 |
| 970403 | PSDI | -3.197 |
| 970403 | DLGC | 26.07 |
| 970404 | CKP | 17.283 |
| 970404 | ABCR | 12.727 |
| 970407 | PSDI | 0 |
| 970407 | CKP | 13.75 |
| 970408 | RDA | -1.861 |
| 970408 | PMTC | 6.624 |
| 970409 | VH | -2.128 |
| 970409 | PCTL | -1.235 |
| 970410 | ADVNB | 1.176 |
| 970410 | JLG | 2.061 |
| 970411 | ADVNB | 16.666 |
| 970411 | ADVNA | 18.769 |
| 970414 | CHK | -0.794 |
| 970414 | PEV | 0 |
| 970415 | JLG | 2.15 |
| 970415 | PMK | 1.973 |
| 970417 | FINL | 8.91 |
| 970417 | IDPH | 7.692 |
| 970418 | ENBX | 2.919 |
| 970418 | FLH | 8.176 |
| 970421 | VSVR | 21.818 |
| 970421 | FRTE | 27.272 |
| 970422 | QCOM | 12.094 |
| 970422 | RYC | 1.814 |
| 970423 | SFC | 0 |
| 970423 | AAM | 1.869 |
| 970424 | INSO | -5.344 |
| 970424 | REY | 0.645 |
| 970425 | SANG | 17.272 |
| 970425 | ZITL | 1.041 |
| 970429 | PRWW | -1.283 |
| 970429 | ACCC | 16.101 |
| 970502 | PAIR | 12.195 |
| 970502 | AAM | -7.447 |
| 970505 | PETM | -13.484 |
| 970505 | IVCR | 15.068 |
| 970506 | CVE | 0 |
| 970506 | DLP | 9.77 |
| 970507 | ESV | 8.579 |
| 970507 | ACCC | 5.109 |
| 970512 | VVUS | -1.588 |
| 970512 | DISH | -2.858 |
| 970513 | DISH | 6.315 |
| 970513 | GDYS | 16.535 |
| 970514 | MTZ | 3.902 |
| 970514 | NIN | 2.985 |
| 970515 | CYTC | -4.286 |
| 970515 | ELM | 0 |
| 970516 | CYTC | -2.942 |
| 970516 | IIN | 4.21 |
| 970519 | MPARY | -2.041 |
| 970519 | MUEI | 3.474 |
| 970520 | MPARY | 4.301 |
| 970520 | SBL | 2.542 |
| 970521 | RDRT | -2.907 |
| 970521 | CUBE | -2 |
| 970522 | CUBE | 20.863 |
| 970522 | COF | 0.796 |
| 970523 | WDC | 12.293 |
| 970523 | SEG | 10.248 |
| 970527 | CFMT | 8.056 |
| 970527 | FDY | 3.846 |
| 970528 | ENBX | 5.982 |
| 970528 | BOST | 3.448 |
| 970529 | BOST | -3.732 |
| 970529 | CHRI | 2.941 |
| 970530 | UACA | 19.148 |
| 970530 | CHRI | 7.751 |
| 970602 | ADTN | -0.255 |
| 970602 | KMAG | -3.948 |
| 970603 | KMAG | 2.884 |
| 970603 | LCOS | 8.163 |
| 970605 | ADTN | 13.793 |
| 970605 | SCOP | 0.46 |
| 970610 | XYLN | 1.754 |
| 970610 | WMB | 1.234 |
| 970611 | IDTI | 1.25 |
| 970611 | WCII | 2.59 |
| 970612 | HPRT | 1.265 |
| 970612 | XIRC | 16.477 |
| 970617 | SCOP | 22.222 |
| 970617 | FLH | 4.098 |
| 970618 | HPRT | 12.837 |
| 970618 | PSDI | -8.731 |
| 970619 | NWAC | 4.797 |
| 970619 | PSDI | -7.129 |
| 970623 | CLFY | 11.25 |
| 970623 | DDIM | 0.534 |
| 970624 | USF | 0.681 |
| 970624 | TRID | -3.334 |
| 970625 | ACTL | 0.751 |
| 970625 | TRID | 5.882 |
| 970626 | KMAG | -1.499 |
| 970626 | DDIM | 4.899 |
| 970627 | CHK | -1.37 |
| 970627 | KMAG | 0 |
| 970630 | VRTX | 3.921 |
| 970630 | PAIR | 10.08 |
| 970701 | AAPL | 5.687 |
| 970701 | RAPT | 7.058 |
Number of trading days = 64
Average 3-day return (%) = 5.4 +/- 5.95
Risk/Return Ratio for 3-day return (for two stocks) = 1.1
Probability of positive pure daily returns = 79.6 %
Return(Risk/Return) for the first stock selected (%): 4.85 ( 1.56 )
Return(Risk/Return) for the second stock selected (%): 5.94 ( 1.42 )