Quarterly data file
1998 - 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 (%) |
| 981002 | NCT | 9.687 |
| 981002 | NT | -5.221 |
| 981005 | TWFC | -8.109 |
| 981005 | VTSS | 7.266 |
| 981006 | PEGA | -0.72 |
| 981006 | TKLC | 7.865 |
| 981007 | MTRS | 48.591 |
| 981007 | PLAT | 15.476 |
| 981009 | VTS | 0 |
| 981009 | WNC | 15.976 |
| 981014 | ANLY | -2.724 |
| 981014 | CBIZ | 5.319 |
| 981015 | CKR | 16.883 |
| 981015 | ANLY | 7.317 |
| 981016 | CKR | 36.727 |
| 981016 | NDE | 3.157 |
| 981019 | CBIZ | -9.29 |
| 981019 | BAANF | -10.161 |
| 981022 | MCK | 4.347 |
| 981022 | LEA | 3.212 |
| 981026 | NSP | 2.85 |
| 981026 | UK | -2.871 |
| 981027 | BLPG | 13.5 |
| 981027 | UK | 0.823 |
| 981028 | HSY | 1.675 |
| 981028 | NRX | 1.485 |
| 981029 | LPX | 0 |
| 981029 | HSY | 4.523 |
| 981030 | GFD | 8.499 |
| 981030 | OXY-A | 0.669 |
| 981102 | DZTK | 3.478 |
| 981102 | ICIX | -8.014 |
| 981104 | SYNT | 13.043 |
| 981104 | ICIX | 0 |
| 981105 | BD | -0.397 |
| 981105 | ACL | 0.208 |
| 981110 | MIFGY | 6.329 |
| 981110 | BD | -2.075 |
| 981112 | SUPR | 1.449 |
| 981112 | VPHM | -10.113 |
| 981113 | FORMF | 1.775 |
| 981113 | WMB | 8.915 |
| 981116 | FORMF | 0 |
| 981116 | DDIM | 10.059 |
| 981117 | DDIM | 16.666 |
| 981117 | SUPR | -1.399 |
| 981118 | SCHK | -2.009 |
| 981118 | LEH-D | 7.006 |
| 981119 | IHS | 11.764 |
| 981119 | CDG | -2.778 |
| 981120 | SII | -0.216 |
| 981120 | PRD | 0 |
| 981125 | SBTK | 17.256 |
| 981125 | XTO | 5.263 |
| 981127 | SDC | -9.678 |
| 981127 | BEAS | 0 |
| 981130 | SDC | -4.592 |
| 981130 | PGO | 0 |
| 981201 | TWLB | 0 |
| 981201 | PSUN | 3.773 |
| 981202 | PXD | 1.744 |
| 981202 | UPR | 1.273 |
| 981203 | CDD | 14.881 |
| 981203 | GDYS | 6.249 |
| 981204 | ARSC | -12.569 |
| 981204 | SCHK | 10 |
| 981207 | ARSC | -5.39 |
| 981207 | OWN | 13.333 |
| 981209 | ARSC | -2.951 |
| 981209 | OI | -0.893 |
| 981210 | PXD | -2.778 |
| 981210 | AR | -1.51 |
| 981211 | MTG | -0.848 |
| 981211 | REV | -2.693 |
| 981214 | DGII | 11.187 |
| 981214 | ITDS | 6.04 |
| 981215 | SQNT | -0.629 |
| 981215 | FTR | 5.914 |
| 981216 | LRW | 7.407 |
| 981216 | NSPR | 6.923 |
| 981217 | NSPR | 12.096 |
| 981217 | COO | -6.644 |
| 981218 | WAXS | -0.685 |
| 981218 | RCNC | 0.462 |
| 981221 | TLXN | 11.17 |
| 981221 | MAH | 1.169 |
| 981222 | FEET | 2.928 |
| 981222 | MYL | 12.628 |
| 981223 | SCTC | 7.179 |
| 981223 | TNSI | 5.426 |
| 981228 | EMN | 0.707 |
| 981228 | LMT | -0.821 |
| 981229 | ITDS | 34.065 |
| 981229 | HYSL | -22.849 |
| 981230 | HYSL | -6.598 |
| 981230 | ASAI | 11.52 |
| 981231 | CYSP | 4.395 |
| 981231 | XCIT | 2.228 |
| 990104 | BFLY | 5.555 |
| 990104 | BILL | 0.568 |
Number of trading days = 62
Average 3-day return (%) = 4.25 +/- 7.94
Risk/Return Ratio for 3-day return (for two stocks) = 1.86
Probability of positive pure daily returns = 69.3 %
Return(Risk/Return) for the first stock selected (%): 5.39 ( 2.17 )
Return(Risk/Return) for the second stock selected (%): 3.12 ( 2.89 )