Quarterly data file
1999 - 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 (%) |
| 990401 | AXNT | -54.688 |
| 990401 | CFWY | 0 |
| 990405 | AXNT | 23.642 |
| 990405 | WIND | -17.858 |
| 990406 | XIRC | 0.923 |
| 990406 | ALSI | 1.595 |
| 990407 | WIND | 16.842 |
| 990407 | SGAI | 19.565 |
| 990408 | ETEC | 13.714 |
| 990408 | BLPG | 5.405 |
| 990412 | CBTSY | 50.349 |
| 990412 | CKR | 19.711 |
| 990414 | CYMI | 6.106 |
| 990414 | MUEI | 5.161 |
| 990415 | VVTV | 15.151 |
| 990415 | WHC | 10.937 |
| 990416 | LSON | 28.906 |
| 990416 | CPQ | 3.703 |
| 990419 | SEEK | 40.273 |
| 990419 | MERQ | 17.142 |
| 990420 | NSOL | 26.666 |
| 990420 | UBID | 18.98 |
| 990421 | FIBR | -38.096 |
| 990421 | CDN | 7.999 |
| 990422 | FIBR | 51.685 |
| 990422 | MU | -2.539 |
| 990423 | RMBS | 1.357 |
| 990423 | NSOL | 0.937 |
| 990429 | NEON | 4.472 |
| 990429 | AIRB | -11.189 |
| 990503 | OCA | 3.846 |
| 990503 | AMGN | 2.461 |
| 990505 | USU | -5.682 |
| 990505 | EMC | 2.994 |
| 990506 | IIXC | -8.048 |
| 990506 | SPLN | 3.544 |
| 990507 | NCT | -8.197 |
| 990507 | SPLN | 30.753 |
| 990510 | AWEB | 15.614 |
| 990510 | NCT | -0.348 |
| 990511 | AIRB | 18.367 |
| 990511 | CACS | 24.489 |
| 990513 | FOB | -1.277 |
| 990513 | WEBT | 1.707 |
| 990514 | ZONA | 0 |
| 990514 | CPTH | 13.131 |
| 990517 | IRID | -2.001 |
| 990517 | ZONA | 8.695 |
| 990518 | CDN | 12.222 |
| 990518 | HMA | 0.465 |
| 990519 | TGLO | -2.181 |
| 990519 | CMTO | -1.099 |
| 990520 | EFAX | 1.619 |
| 990520 | TBFC | -1.597 |
| 990521 | ONEM | -8.983 |
| 990521 | EFAX | 10.599 |
| 990524 | PILT | 10.429 |
| 990524 | IVIL | 10.044 |
| 990526 | TAGS | 23.604 |
| 990526 | DRIV | 10.857 |
| 990527 | DLIA | 4.433 |
| 990527 | RTHM | 4.812 |
| 990528 | PWAV | -1.082 |
| 990528 | DG | 12.941 |
| 990602 | JBOH | -1.887 |
| 990602 | NAVR | -14.706 |
| 990603 | TUNE | 9.296 |
| 990603 | PCLN | 24.665 |
| 990604 | ATHM | 3.571 |
| 990604 | CSGS | -0.741 |
| 990607 | TXCC | 4.048 |
| 990607 | VDAT | -7.483 |
| 990608 | EFAX | 24.444 |
| 990608 | BXM | 0.849 |
| 990609 | OCLR | 12.605 |
| 990609 | BXM | 16.049 |
| 990610 | ARM | -28.889 |
| 990610 | ATHM | -15.142 |
| 990611 | ACR | 0 |
| 990611 | EMT | 4.081 |
| 990614 | ARM | -3.624 |
| 990614 | ELNK | 12.08 |
| 990615 | MSGI | 50.98 |
| 990615 | CYCH | 14.285 |
| 990616 | PRBZ | 22.999 |
| 990616 | OCR | -23.736 |
| 990617 | OCR | -2.44 |
| 990617 | USWB | 21.379 |
| 990618 | OCR | 8.163 |
| 990618 | AMSY | 6.487 |
| 990621 | MSM | 4.347 |
| 990621 | NCT | -0.953 |
| 990622 | SBTK | 0 |
| 990622 | MVIS | 14.062 |
| 990624 | CMDC | -1.667 |
| 990624 | FGI | -4.226 |
| 990625 | PRXL | -1.924 |
| 990625 | PGTV | 13.787 |
| 990628 | NCT | 17.877 |
| 990628 | ACTN | 5.533 |
| 990629 | CHRZ | 1.851 |
| 990629 | PDII | 18.681 |
| 990630 | SORC | 6.481 |
| 990630 | PE | -0.15 |
Number of trading days = 62
Average 3-day return (%) = 6.52 +/- 10.8
Risk/Return Ratio for 3-day return (for two stocks) = 1.65
Probability of positive pure daily returns = 79 %
Return(Risk/Return) for the first stock selected (%): 7.01 ( 2.51 )
Return(Risk/Return) for the second stock selected (%): 6.02 ( 1.77 )