Quarterly data file
1998 - 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 (%) |
| 980707 | VNTV | -1.887 |
| 980707 | GLBL | -0.415 |
| 980708 | HRBC | 4.39 |
| 980708 | VNTV | 6.878 |
| 980709 | PESC | -1.5 |
| 980709 | CTI | 2.04 |
| 980710 | CFN | 1.923 |
| 980710 | GILD | 0.779 |
| 980714 | TRMB | 2.752 |
| 980714 | LDRY | -10.318 |
| 980715 | LDRY | 3.056 |
| 980715 | TRMB | 8.737 |
| 980716 | PFG | -1.786 |
| 980716 | LCCI | 0.621 |
| 980717 | PFG | 11.458 |
| 980717 | ABTE | 9.374 |
| 980720 | PIXR | 8.563 |
| 980720 | AVNT | 4.262 |
| 980721 | BLDPF | 15.447 |
| 980721 | TNFI | -2.239 |
| 980723 | GADZ | -4.445 |
| 980723 | OXHP | -12.427 |
| 980724 | OXHP | -4.795 |
| 980724 | GHV | -1.516 |
| 980728 | COHR | 1.123 |
| 980728 | FTR | 7.553 |
| 980729 | CAST | 4.587 |
| 980729 | AZPN | -2.284 |
| 980730 | PIN | -11.451 |
| 980730 | DTII | -4.879 |
| 980731 | PIN | 4.464 |
| 980731 | RMDY | -5.76 |
| 980803 | EGGS | -11.765 |
| 980803 | NETG | -5.406 |
| 980804 | HORC | 12.195 |
| 980804 | IKN | 18.571 |
| 980805 | RXSD | 32.541 |
| 980805 | STFF | 4.347 |
| 980806 | SOL | 2.307 |
| 980806 | UICI | -4.546 |
| 980807 | CWC | -9.445 |
| 980807 | PRTL | 4.316 |
| 980810 | UNH | -4.12 |
| 980810 | PRMS | 1.818 |
| 980811 | FGII | 5.785 |
| 980811 | TAXI | 2.083 |
| 980812 | VIP | 8.816 |
| 980812 | HUM | -9.434 |
| 980813 | NOI | -12.606 |
| 980813 | AFCI | -7.369 |
| 980814 | BGP | 14.141 |
| 980814 | WLM | 0.873 |
| 980818 | NOI | 1.075 |
| 980818 | MMGR | 4.201 |
| 980819 | VIP | -9.118 |
| 980819 | DAOU | 30.188 |
| 980821 | UBB | -7.318 |
| 980821 | VNT | -5.608 |
| 980824 | MRVT | -0.878 |
| 980824 | CLCX | -19.299 |
| 980825 | CLCX | -47.475 |
| 980825 | NITE | -17.284 |
| 980826 | LBOR | -22.298 |
| 980826 | ZAP | 1.57 |
| 980827 | VIP | -11.95 |
| 980827 | FMX | 2.222 |
| 980828 | MBRS | 18.333 |
| 980828 | WFSG | -18.086 |
| 980831 | CMGI | 4.262 |
| 980831 | RMII | 31.249 |
| 980901 | LOR | 0 |
| 980901 | PB | 0 |
| 980902 | SANM | -2.986 |
| 980902 | FSFH | -24.039 |
| 980903 | FSFH | -20.513 |
| 980903 | SANM | 8.51 |
| 980904 | ICII | -20.001 |
| 980904 | THNK | -26.507 |
| 980908 | REXI | -4.488 |
| 980908 | TBR | -18.073 |
| 980909 | AMES | 9.34 |
| 980909 | DMMC | -8.451 |
| 980910 | SPLN | 14.423 |
| 980910 | AMFM | 4.854 |
| 980911 | AMFM | 32.124 |
| 980911 | GCN | 14.062 |
| 980915 | DCLK | 10.759 |
| 980915 | LOR | 14.354 |
| 980916 | UC | -2.907 |
| 980916 | CIEN | -6.566 |
| 980917 | IMP | -7.109 |
| 980917 | AVID | 5.988 |
| 980921 | PHG | 8.152 |
| 980921 | IMP | 17.01 |
| 980922 | WND | -54.582 |
| 980922 | HPH | 1.086 |
| 980923 | WND | -2.609 |
| 980923 | AGTX | 0.961 |
| 980924 | DURA | -1.177 |
| 980924 | CMM | -5.591 |
| 980925 | BVSN | -10.77 |
| 980925 | ESPI | -14.943 |
| 980928 | NICEY | -7.143 |
| 980928 | ESPI | -5.406 |
| 980929 | NICEY | 7.017 |
| 980929 | CGX | 3.958 |
| 980930 | KLM | -3.283 |
| 980930 | CNS | 3.184 |
| 981001 | CBR | 2.723 |
| 981001 | STNRF | 10.344 |
Number of trading days = 64
Average 3-day return (%) = -0.76 +/- 10.28
Risk/Return Ratio for 3-day return (for two stocks) = -13
Probability of positive pure daily returns = 42.1 %
Return(Risk/Return) for the first stock selected (%): -2.21 ( -6.7 )
Return(Risk/Return) for the second stock selected (%): 0.68 ( 16.32 )