Quarterly data file
1998 - 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 (%) |
| 980402 | PRST | -15.295 |
| 980402 | TRII | 4.43 |
| 980403 | MTEL | 6.906 |
| 980403 | PRST | 4.166 |
| 980406 | VIAS | 8.866 |
| 980406 | PRST | 15.454 |
| 980407 | ZITL | 7.329 |
| 980407 | FSH | -10.072 |
| 980408 | SMTC | -2.006 |
| 980408 | SOC | -6.585 |
| 980409 | WAND | 1.646 |
| 980409 | RESP | -1.028 |
| 980413 | PDLI | 10.107 |
| 980413 | SOC | 4.185 |
| 980415 | IDTC | -2.585 |
| 980415 | GYMB | -4.375 |
| 980416 | JMED | 4.081 |
| 980416 | ZITL | 8.9 |
| 980417 | WCII | -3.12 |
| 980417 | LTBG | 3.26 |
| 980420 | CYTC | -0.827 |
| 980420 | APSG | 2.97 |
| 980421 | APSG | 9.374 |
| 980421 | MAR | -1.112 |
| 980422 | SIPX | -7.988 |
| 980422 | DAVX | 2.409 |
| 980423 | TDDDF | 3.571 |
| 980423 | DHSM | 8.571 |
| 980424 | CYTC | 17.171 |
| 980424 | CCA | 9.045 |
| 980428 | EIDSY | 3.968 |
| 980428 | REGI | -22.514 |
| 980429 | CHKPF | 2.057 |
| 980429 | LEN | 3.944 |
| 980430 | REGI | 5.226 |
| 980430 | STBI | -20.088 |
| 980501 | STBI | 3.448 |
| 980501 | MIKE | 4.329 |
| 980504 | IMIC | -23.781 |
| 980504 | NUTR | 15.254 |
| 980505 | REGI | -0.71 |
| 980505 | SNRZ | 7.358 |
| 980506 | ALK | 3.259 |
| 980506 | ALNT | 1.951 |
| 980507 | HLYW | 8.571 |
| 980507 | MSPG | 1.985 |
| 980508 | HCRI | 3.649 |
| 980508 | HLYW | 9.411 |
| 980512 | PERC | 8.717 |
| 980512 | PTEK | -1.343 |
| 980513 | PAP | -5.883 |
| 980513 | ERGO | -53.394 |
| 980514 | PAP | 2.762 |
| 980514 | ALYD | 17.272 |
| 980515 | CNDS | 5.952 |
| 980515 | NSPK | -1.205 |
| 980518 | DTG | 1.68 |
| 980518 | LVLT | 3.645 |
| 980519 | NTKI | 0.338 |
| 980519 | MDCO | -4.703 |
| 980520 | SNUS | -10.345 |
| 980520 | OMKT | 9.327 |
| 980521 | CYMI | -9.441 |
| 980521 | ESREF | -4.143 |
| 980522 | CELL | -3.516 |
| 980522 | CYMI | -1.103 |
| 980526 | SEEK | 4.748 |
| 980526 | SMTC | 20.714 |
| 980527 | KMAG | -1.876 |
| 980527 | KBH | 11.634 |
| 980528 | DBD | -2.802 |
| 980528 | CCMC | 0 |
| 980529 | ASYT | 0 |
| 980529 | ROS | 12.195 |
| 980601 | ACCS | -2.151 |
| 980601 | ATMI | -8.68 |
| 980602 | ACCS | 7.999 |
| 980602 | ATMI | -4.725 |
| 980603 | GALTF | -39.706 |
| 980603 | PRIA | 6.818 |
| 980604 | CMGI | 17.948 |
| 980604 | MTIC | -0.589 |
| 980608 | GALTF | 0 |
| 980608 | BILL | -14.584 |
| 980609 | BILL | -1.245 |
| 980609 | PCMS | -3.774 |
| 980610 | KTEL | 53.02 |
| 980610 | MTIC | 2.857 |
| 980611 | CREAF | -16.973 |
| 980611 | ITSW | -2.5 |
| 980612 | VOCLF | 6.976 |
| 980612 | DPMI | 7.692 |
| 980615 | CREAF | 14.772 |
| 980615 | SOC | -14.683 |
| 980616 | SOC | -5.406 |
| 980616 | GSCN | 0 |
| 980617 | CLN | -9.434 |
| 980617 | SOC | -25.582 |
| 980618 | GLIA | 6.73 |
| 980618 | DLIA | 5.785 |
| 980619 | SOC | 10.555 |
| 980619 | GLIA | 29.292 |
| 980625 | GLBL | 12.195 |
| 980625 | LMM | 0.625 |
| 980626 | CMO | -10.739 |
| 980626 | CELL | 25.654 |
| 980629 | CRLBF | 29.94 |
| 980629 | GEMS | 3.954 |
| 980630 | DANKY | 4.761 |
| 980630 | GEMS | 2.906 |
| 980701 | DWRX | 9.574 |
| 980701 | CYCH | 9.239 |
Number of trading days = 63
Average 3-day return (%) = 1.94 +/- 9.2
Risk/Return Ratio for 3-day return (for two stocks) = 4.72
Probability of positive pure daily returns = 60.3 %
Return(Risk/Return) for the first stock selected (%): 2.64 ( 4.81 )
Return(Risk/Return) for the second stock selected (%): 1.25 ( 9.85 )