Quarterly data file
1999 - 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 (%) |
| 990105 | SAP | 9.941 |
| 990105 | INVX | 17.37 |
| 990106 | LLL | 2.453 |
| 990106 | CYSP | 1.234 |
| 990107 | MDLK | 5.357 |
| 990107 | HMA | -12.715 |
| 990108 | BEAV | -6.272 |
| 990108 | LLY | -5.864 |
| 990111 | CPB | 1.377 |
| 990111 | PSSI | 15.14 |
| 990112 | TCP | -2.093 |
| 990112 | RSTO | 1.999 |
| 990113 | BGALY | 10.416 |
| 990113 | TEO | 16.959 |
| 990114 | CBD | 11.363 |
| 990114 | UBB | 33.333 |
| 990115 | MVSN | 8.333 |
| 990115 | PGEX | 14.285 |
| 990120 | PGNS | 6.481 |
| 990120 | WFMI | 1.919 |
| 990121 | PSSI | -3.547 |
| 990121 | RAL | 4.783 |
| 990125 | WNC | 10.185 |
| 990125 | SMOD | 2.077 |
| 990126 | ASDV | 20.634 |
| 990126 | HNCS | -0.231 |
| 990127 | NRRD | 7.526 |
| 990127 | LZ | 3.592 |
| 990128 | MAPX | 12.65 |
| 990128 | CUBE | 10.645 |
| 990201 | SPYG | 24.137 |
| 990201 | RESP | 4.385 |
| 990202 | KMAG | -0.7 |
| 990202 | NMGC | 6.112 |
| 990203 | NSIT | 5.919 |
| 990203 | CYTC | 0.787 |
| 990204 | XLSW | 10.326 |
| 990204 | AXE | -11.211 |
| 990205 | HSTR | 10.687 |
| 990205 | CRYSF | -9.028 |
| 990208 | ITDS | 5.188 |
| 990208 | RDRT | -3.59 |
| 990209 | PSQL | 1.324 |
| 990209 | RDRT | 6.382 |
| 990211 | KRE | -10.823 |
| 990211 | GCTI | -5.705 |
| 990216 | AGTX | -18.563 |
| 990216 | SLOT | -4.392 |
| 990217 | CHRZ | 0 |
| 990217 | KRE | 27.604 |
| 990218 | CURE | 15.76 |
| 990218 | PDX | 16.398 |
| 990219 | HSIC | 11.557 |
| 990219 | ROSI | 24.999 |
| 990223 | UFI | 0.543 |
| 990223 | MI | -0.855 |
| 990224 | CTHR | 22.352 |
| 990224 | IM | 9.192 |
| 990225 | ARDT | 10.256 |
| 990225 | CTHR | 22.352 |
| 990226 | IDXC | 11.578 |
| 990226 | HTCH | 10.441 |
| 990301 | MMS | -1.208 |
| 990301 | MWHS | -2.014 |
| 990302 | GENXY | 4.31 |
| 990302 | PGEX | 14.999 |
| 990309 | OCR | 2.96 |
| 990309 | SCUR | 5.909 |
| 990310 | SFSK | -47.917 |
| 990310 | METZ | 10 |
| 990311 | CELL | 14.583 |
| 990311 | SFSK | -34.427 |
| 990312 | SFSK | 0.348 |
| 990312 | ABF | 0.796 |
| 990315 | DPRC | -8.257 |
| 990315 | SAVLY | -10.938 |
| 990316 | CAER | -8.334 |
| 990316 | SAVLY | 33.749 |
| 990317 | PWCC | -12.377 |
| 990317 | SKS | -0.456 |
| 990318 | GCN | -5.77 |
| 990318 | BOBJY | 18.181 |
| 990319 | NETA | 7.572 |
| 990319 | CBSI | -11.491 |
| 990322 | LNCR | 8.571 |
| 990322 | PER | 4.583 |
| 990323 | PGNS | -13.334 |
| 990323 | LNCR | 23.87 |
| 990324 | SFAM | 7.142 |
| 990324 | PGNS | 4.419 |
| 990325 | CATP | 8.587 |
| 990325 | PGNS | 19.186 |
| 990329 | AAII | -5.209 |
| 990329 | PER | -9.211 |
| 990330 | WIT | 8.163 |
| 990330 | XIRC | 10.966 |
| 990331 | PRIA | 23.809 |
| 990331 | PER | -4.391 |
Number of trading days = 60
Average 3-day return (%) = 5.41 +/- 8.95
Risk/Return Ratio for 3-day return (for two stocks) = 1.65
Probability of positive pure daily returns = 73.3 %
Return(Risk/Return) for the first stock selected (%): 4.67 ( 2.49 )
Return(Risk/Return) for the second stock selected (%): 6.14 ( 2.05 )