Quarterly data file
1999 - 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 (%) |
| 990701 | RSLC | 0.694 |
| 990701 | CNS | -6.373 |
| 990707 | VGIN | -7.62 |
| 990707 | SBUX | 0.749 |
| 990708 | CNS | 2.272 |
| 990708 | SAPE | -2.169 |
| 990712 | OSTE | 19.999 |
| 990712 | NSPR | 16.556 |
| 990715 | KELL | -3.556 |
| 990715 | SDH | 1.562 |
| 990719 | TRL | 8.695 |
| 990719 | TAGS | -2.82 |
| 990720 | HSIC | 4.844 |
| 990720 | GNTX | -0.482 |
| 990721 | GNTX | 10.051 |
| 990721 | PSFT | -1.786 |
| 990722 | PCLN | -3.366 |
| 990722 | PSFT | 3.738 |
| 990723 | RBK | -1.422 |
| 990723 | SWS | -4.414 |
| 990726 | MACR | 22.27 |
| 990726 | CPTH | -3.053 |
| 990727 | TUTS | -9.091 |
| 990727 | UBID | -2.605 |
| 990728 | CBDR | -13.637 |
| 990728 | TUTS | -9.846 |
| 990729 | SPLN | 2.083 |
| 990729 | RBK | 5.729 |
| 990730 | SRCM | -16.38 |
| 990730 | MRBA | -8.831 |
| 990802 | SRCM | 6.574 |
| 990802 | LAUN | -11.047 |
| 990803 | TSCM | -10.858 |
| 990803 | DIR | 1.006 |
| 990804 | MQST | 4.216 |
| 990804 | VUSA | 29.09 |
| 990806 | VDAT | -14.936 |
| 990806 | NETP | -0.589 |
| 990809 | TGO | 1.083 |
| 990809 | IVIL | 9.131 |
| 990810 | TGO | 19.444 |
| 990810 | TFSM | 31.147 |
| 990811 | HLTH | 19.334 |
| 990811 | PDX | -6.695 |
| 990812 | PHCC | 3.605 |
| 990812 | ADFC | 24.999 |
| 990813 | PGEX | 18.77 |
| 990813 | ANET | -8.989 |
| 990819 | FPIC | -18.134 |
| 990819 | CPTL | -9.179 |
| 990820 | CATT | 11.853 |
| 990820 | ESI | -3.192 |
| 990824 | PWR | -11.228 |
| 990824 | CPTL | 11.931 |
| 990825 | PWR | -8.511 |
| 990825 | DNB | 3.448 |
| 990826 | PWR | 12.499 |
| 990826 | MSGI | 0.502 |
| 990827 | FMC | -1.891 |
| 990827 | PTX | -9.327 |
| 990831 | DAB | 0 |
| 990831 | ACXM | 2.846 |
| 990901 | AW | -2.041 |
| 990901 | DAB | 3.825 |
| 990903 | LRW | -7.778 |
| 990903 | MMCN | -3.961 |
| 990908 | VFC | 4.225 |
| 990908 | LRW | 2.453 |
| 990910 | CTIX | 19.29 |
| 990910 | ZQK | -0.814 |
| 990913 | SUT | -3.615 |
| 990913 | CSTR | -41.158 |
| 990914 | FMO | -10.083 |
| 990914 | FRNT | 0.999 |
| 990915 | FMO | -0.684 |
| 990915 | BBC | -3 |
| 990916 | HELE | 8.124 |
| 990916 | BMET | 7.027 |
| 990917 | OG | -10.785 |
| 990917 | PPDI | 8 |
| 990920 | JILL | -28.063 |
| 990920 | LVCI | 20.161 |
| 990921 | MAST | -2.885 |
| 990921 | DOL | -1.553 |
| 990922 | ALSI | 4.905 |
| 990922 | DOL | 2.265 |
| 990923 | ACTN | 10.38 |
| 990923 | ICIX | 0.684 |
| 990924 | NVDA | 18.275 |
| 990924 | RAD | 28.409 |
| 990927 | PRHC | 5.376 |
| 990927 | INTL | 8.349 |
| 990928 | FLGS | 15.865 |
| 990928 | ILXO | -1.531 |
| 990930 | AET | -0.508 |
| 990930 | ANSR | 0.649 |
Number of trading days = 64
Average 3-day return (%) = 2.02 +/- 8.55
Risk/Return Ratio for 3-day return (for two stocks) = 4.22
Probability of positive pure daily returns = 64 %
Return(Risk/Return) for the first stock selected (%): 2.23 ( 4.92 )
Return(Risk/Return) for the second stock selected (%): 1.81 ( 6.39 )