Quarterly data file
1997 - 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 (%) |
| 971002 | ESST | 1.886 |
| 971002 | NS | 1.606 |
| 971007 | KLIC | 3.061 |
| 971007 | CLSR | 7.692 |
| 971008 | ACTL | 4.641 |
| 971008 | GDYS | -12.904 |
| 971009 | RATL | 8.227 |
| 971009 | GDYS | 5.263 |
| 971010 | GDYS | 3.763 |
| 971010 | WRC | 2.803 |
| 971014 | EGLS | -4.557 |
| 971014 | IRF | -9.091 |
| 971015 | WFR | -5.057 |
| 971015 | DAOU | 16.256 |
| 971016 | LSI | 3.906 |
| 971016 | KEP | -3.615 |
| 971017 | XLNX | 13.745 |
| 971017 | SUNW | 2.605 |
| 971020 | REMC | 1.165 |
| 971020 | DPMI | -8.654 |
| 971021 | DPMI | -6.123 |
| 971021 | UTR | 2.471 |
| 971022 | RDHS | 3.496 |
| 971022 | CACC | -39.744 |
| 971023 | IPEC | -26.316 |
| 971023 | AXYS | -27.273 |
| 971024 | CMOS | 10.707 |
| 971024 | ETEC | 6.158 |
| 971028 | OXHP | 5.418 |
| 971028 | GUC | 8.424 |
| 971029 | PAP | 2.173 |
| 971029 | ALN | 4.482 |
| 971030 | TBR | 19.23 |
| 971030 | BRKS | 14.881 |
| 971031 | BOST | -1.399 |
| 971031 | GHV | -9.184 |
| 971103 | GHV | 2.949 |
| 971103 | CEXP | 1.276 |
| 971105 | DDIM | -5.206 |
| 971105 | OXHP | 8.376 |
| 971106 | ZITL | -4.907 |
| 971106 | DDIM | 0.578 |
| 971107 | UBB | -20.001 |
| 971107 | PEGA | -8.844 |
| 971110 | WDC | -7.184 |
| 971110 | YURI | 10.344 |
| 971111 | UBB | -3.013 |
| 971111 | ZOLT | -6.452 |
| 971112 | COMS | 6.477 |
| 971112 | NSOL | 22.857 |
| 971113 | MTZ | 8.381 |
| 971113 | COMS | 12.989 |
| 971117 | CKSG | 13.775 |
| 971117 | GLFD | 6.329 |
| 971119 | PTEN | 4.87 |
| 971119 | BNO | -5.534 |
| 971120 | CPRD | 2.453 |
| 971120 | EGHT | 10.119 |
| 971121 | BNO | -2.543 |
| 971121 | UTR | -5.449 |
| 971124 | GLBL | 6.666 |
| 971124 | CDG | -4.33 |
| 971125 | SCSWF | 0.254 |
| 971125 | GNT | -1.215 |
| 971126 | UFAB | -11.378 |
| 971126 | SCSWF | 0.763 |
| 971128 | BCGI | 12.666 |
| 971128 | CLST | 8.212 |
| 971201 | CS | -34.232 |
| 971201 | CDRD | -5.556 |
| 971202 | DSPC | 3.896 |
| 971202 | SFR | 2.941 |
| 971205 | SAMC | -11.492 |
| 971205 | MDYN | -13.971 |
| 971209 | PLXS | 21.656 |
| 971209 | SAMC | 5.504 |
| 971210 | FINE | 4.697 |
| 971210 | ECI | 1.498 |
| 971211 | FINE | 25.806 |
| 971211 | SCOP | 6.944 |
| 971212 | BRKS | 24.271 |
| 971212 | SAWS | 24.418 |
| 971215 | ZONA | 8.814 |
| 971215 | MICA | 5.069 |
| 971216 | VVUS | 19.496 |
| 971216 | PMRY | -1.493 |
| 971217 | WSTL | -4.569 |
| 971217 | BEAV | 13.372 |
| 971218 | LDRY | 18.055 |
| 971218 | MCRL | 26.087 |
| 971219 | DIGL | -4.187 |
| 971219 | ZOLT | 0.925 |
| 971222 | ISIP | 8.108 |
| 971222 | CHRX | 0.366 |
| 971223 | ZRAN | -1.531 |
| 971223 | MAVK | 6.748 |
| 971224 | ENML | -7.866 |
| 971224 | MAVK | 20.615 |
| 971230 | APSO | 0.966 |
| 971230 | ENML | 16.867 |
| 971231 | APSO | -1.429 |
| 971231 | CHRX | -2.837 |
| 980102 | GADZ | 3.048 |
| 980102 | ASI | 9.065 |
Number of trading days = 62
Average 3-day return (%) = 2.84 +/- 9.79
Risk/Return Ratio for 3-day return (for two stocks) = 3.43
Probability of positive pure daily returns = 66.1 %
Return(Risk/Return) for the first stock selected (%): 2.55 ( 4.36 )
Return(Risk/Return) for the second stock selected (%): 3.13 ( 3.75 )