Quarterly data file
1997 - 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 (%) |
| 970703 | SYBS | 9.999 |
| 970703 | BTGC | -1.099 |
| 970707 | PDG | 4.017 |
| 970707 | BTGC | 7.272 |
| 970708 | CACC | 5.376 |
| 970708 | ENBX | -10.304 |
| 970709 | SLCTY | -28.572 |
| 970709 | GADZ | 11.524 |
| 970710 | PRRC | 21.249 |
| 970710 | PSUN | 0 |
| 970714 | HOTT | 21.6 |
| 970714 | SFDS | 4.639 |
| 970715 | JLG | 1.47 |
| 970715 | CEPH | -2.326 |
| 970717 | BROD | 4.545 |
| 970717 | GLH | 7.307 |
| 970718 | BTGI | 12.087 |
| 970718 | TEAM | -27.953 |
| 970721 | TEAM | 36.249 |
| 970721 | OO | 3.37 |
| 970722 | SYKE | 1.162 |
| 970722 | CUNO | 4.629 |
| 970724 | SPW | 1.641 |
| 970724 | UFEM | 0 |
| 970725 | SWW | 13.242 |
| 970725 | UFEM | -0.579 |
| 970728 | NMGC | 4.225 |
| 970728 | TEAM | 2.617 |
| 970730 | NS | -0.827 |
| 970730 | CSGS | 5.464 |
| 970801 | CVE | -0.569 |
| 970801 | HOLX | 6.626 |
| 970804 | JH | 2.341 |
| 970804 | SEAC | 7.692 |
| 970805 | STAR | 0 |
| 970805 | RHBC | 2.678 |
| 970806 | NEOP | -2.198 |
| 970806 | CCCG | 5.217 |
| 970808 | NCSS | -2.041 |
| 970808 | ICII | -0.629 |
| 970811 | LTRE | 2.702 |
| 970811 | PHYC | -1.732 |
| 970812 | USCS | 0 |
| 970812 | PFE | 0 |
| 970813 | AMGN | 0.761 |
| 970813 | VO | 1.996 |
| 970814 | FEET | -1.551 |
| 970814 | SPYN | -7.223 |
| 970815 | KO | 3.51 |
| 970815 | OLOG | 4.511 |
| 970818 | G | 5.869 |
| 970818 | MMTCY | -6.396 |
| 970819 | PBY | -1.208 |
| 970819 | G | -0.875 |
| 970820 | FEET | 4 |
| 970820 | PBY | -0.955 |
| 970821 | JOINA | 7.058 |
| 970821 | GC | 4.819 |
| 970822 | HLI | 6.077 |
| 970822 | MCIC | -3.55 |
| 970826 | IVCR | 6.211 |
| 970826 | WONE | 0.446 |
| 970827 | TTRA | 0.296 |
| 970827 | MWL | 10.096 |
| 970828 | BEAS | 3.63 |
| 970828 | GLW | 1.756 |
| 970829 | AAM | 4.878 |
| 970829 | HKT | 0.589 |
| 970902 | KF | 4.545 |
| 970902 | TAR | 1.256 |
| 970904 | GEMS | 2.38 |
| 970904 | BTH | -3.334 |
| 970905 | NBTY | -3.822 |
| 970905 | ASD | 3.201 |
| 970908 | IPIC | 7.894 |
| 970908 | QTEL | 2.127 |
| 970909 | GLW | -13.266 |
| 970909 | RWTI | 9.416 |
| 970911 | GLW | 1.341 |
| 970911 | RMBS | 2.857 |
| 970912 | VNTV | -6.683 |
| 970912 | RFMD | -1.146 |
| 970918 | GEMS | 5.357 |
| 970918 | BGEN | 9.411 |
| 970919 | GAL | -1.251 |
| 970919 | IONAY | 0.465 |
| 970922 | CYMI | 0.618 |
| 970922 | ISSI | -3.192 |
| 970923 | CERN | 13.276 |
| 970923 | RMBS | 13.539 |
| 970925 | DGN | 3.846 |
| 970925 | HDCO | -0.228 |
| 970926 | HDCO | -6.797 |
| 970926 | GUC | 7.102 |
| 970930 | SCOP | -2.363 |
| 970930 | SIII | 3.191 |
| 971001 | IMNT | -14.595 |
| 971001 | ACTL | 0.735 |
Number of trading days = 64
Average 3-day return (%) = 2.15 +/- 5.39
Risk/Return Ratio for 3-day return (for two stocks) = 2.5
Probability of positive pure daily returns = 67.1 %
Return(Risk/Return) for the first stock selected (%): 1.8 ( 5.25 )
Return(Risk/Return) for the second stock selected (%): 2.5 ( 2.69 )