Quarterly data file
1998 - 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 (%) |
| 980105 | RMDY | -9.037 |
| 980105 | AVNT | 2.142 |
| 980106 | UMC | 1.041 |
| 980106 | MGAM | 3.529 |
| 980107 | RAIN | -5.724 |
| 980107 | IIT | -24.464 |
| 980108 | IIT | 23.076 |
| 980108 | CDRD | -11.505 |
| 980109 | IIT | 46.107 |
| 980109 | GRL | 27.027 |
| 980112 | PHYC | 7.894 |
| 980112 | ADPT | 0.308 |
| 980113 | ACCS | 18.457 |
| 980113 | ADPT | 11.598 |
| 980114 | CLMT | 17.365 |
| 980114 | KOSP | 22.034 |
| 980116 | ADCT | -4.026 |
| 980116 | PMSI | 0.923 |
| 980120 | MWHS | 2.857 |
| 980120 | SPLH | 4.21 |
| 980122 | BTIM | -15.045 |
| 980122 | UAG | -12.617 |
| 980123 | BTIM | -7.212 |
| 980123 | NOI | 8.376 |
| 980126 | CUL | -3.198 |
| 980126 | CYBR | -0.618 |
| 980127 | TMAR | 8.396 |
| 980127 | HAKI | -4.036 |
| 980129 | PRCM | 5.599 |
| 980129 | HTN | 5.8 |
| 980130 | VIAS | 0.621 |
| 980130 | UAG | 12.195 |
| 980202 | HPK | 5.092 |
| 980202 | FUR | 5.084 |
| 980203 | NN | 2.812 |
| 980203 | ANTC | 4.191 |
| 980204 | BKUNA | 4.591 |
| 980204 | NN | 8.524 |
| 980205 | DSTM | 4.43 |
| 980205 | PRGO | 0 |
| 980206 | ULGX | 5.99 |
| 980206 | PRGO | 5.624 |
| 980209 | BTGC | 5.128 |
| 980209 | VNO | 5.147 |
| 980210 | RADS | -0.69 |
| 980210 | TRII | -2.687 |
| 980212 | OEA | 6.508 |
| 980212 | GLBE | -6.731 |
| 980213 | SIMN | 14.018 |
| 980213 | WDRY | 6.547 |
| 980216 | ALYD | 8.73 |
| 980216 | KOSP | 4.093 |
| 980218 | RSLCF | 25.714 |
| 980218 | PTUS | 4.999 |
| 980219 | MAVK | -6.875 |
| 980219 | LTRE | 6.948 |
| 980220 | MAVK | -1.299 |
| 980220 | PETC | -28.302 |
| 980223 | PETC | -17.143 |
| 980223 | CIEN | 0.934 |
| 980224 | PETC | 0 |
| 980224 | ELTN | 0.595 |
| 980226 | SNUS | 5.472 |
| 980226 | ACRT | 0.995 |
| 980227 | CLSR | 5.345 |
| 980227 | PRMA | 7.499 |
| 980302 | MRVC | 8.426 |
| 980302 | CLSR | 8.196 |
| 980303 | ASYT | -3.395 |
| 980303 | CTXS | 9 |
| 980304 | CPQ | -11.608 |
| 980304 | SNUS | -0.5 |
| 980306 | DEC | 2.04 |
| 980306 | DMIC | -3.637 |
| 980310 | SNUS | -5.295 |
| 980310 | ZIGO | 4.054 |
| 980312 | ALTIF | -2.632 |
| 980312 | SNPS | 7.883 |
| 980316 | UCR | 11.136 |
| 980316 | INFS | 5.833 |
| 980317 | ENCD | -0.47 |
| 980317 | FGII | 14.14 |
| 980320 | DAOU | 1.03 |
| 980320 | SCTC | 4.406 |
| 980323 | TSRI | 10.769 |
| 980323 | ICST | 0 |
| 980324 | ADVH | 12.244 |
| 980324 | PFG | 3.82 |
| 980326 | MAST | 9.115 |
| 980326 | ADPT | 0 |
| 980327 | CCBL | 0 |
| 980327 | BROD | -11.213 |
| 980330 | SEEC | 34.615 |
| 980330 | BROD | 0.662 |
| 980331 | RSYS | 0 |
| 980331 | BROD | 6.849 |
| 980401 | OXGN | -7.369 |
| 980401 | MIND | -2.062 |
Number of trading days = 61
Average 3-day return (%) = 2.59 +/- 8.76
Risk/Return Ratio for 3-day return (for two stocks) = 3.37
Probability of positive pure daily returns = 68.8 %
Return(Risk/Return) for the first stock selected (%): 3.29 ( 3.46 )
Return(Risk/Return) for the second stock selected (%): 1.89 ( 5.01 )