Quarterly data file

1999 - 4

(CLO1 - OPE4) strategies with selection of two stocks with maximum price drop during the day #1
STOCK1 is the stock with maximum CLO1 - CLO0 price drop
RETURN is the stock price change (OPE4 - CLO1) in %
Look at statistics at the end of file

*     ---   the Basic Trading Strategy
**   ---    the Basic Trading Strategy and the Low Risk Strategy-1
*** ---   the Basic Trading Strategy and the Low Risk Strategies-1 and -2

Day #1 Ticker Strategy Closing Price Day #4 Opening Price Return %
991001 SRV ** 7.875 991006 7.6875 -2.39
991001 MM ** 11.4375 991006 9.875 -13.67
991004 MAT *** 11.875 991007 13.25 11.57
991004 REV *** 10 991007 9 -10.01
991005 ADRX ** 41.8125 991008 49.375 18.08
991005 MM ** 10.375 991008 12 15.66
991006 EDMC *** 8.9375 991011 10.25 14.68
991006 STRA *** 14.25 991011 14.5 1.75
991007 SLI * 11.4375 991012 10.1875 -10.93
991007 SII * 36.5625 991012 39.5 8.03
991008 IDTI ** 16.9375 991013 17.8125 5.16
991008 VTS ** 15 991013 16.4375 9.58
991011 SLI * 10.0625 991014 12.125 20.49
991011 GLIA * 11.625 991014 13.1875 13.44
991012 KROG ** 13.1875 991015 12.875 -2.37
991012 ADRX ** 42 991015 41.75 -0.6
991013 KROG ** 12.4375 991018 12.75 2.51
991013 PRBZ ** 18.375 991018 21.5625 17.34
991014 SNRZ * 10.5625 991019 10.0625 -4.74
991014 USFS * 11.25 991019 11.25 0
991015 WINK ** 26.5 991020 25.375 -4.25
991015 XRX ** 27.4375 991020 25.375 -7.52
991018 XRX *** 23.8125 991021 25.5 7.08
991018 WINK *** 23.25 991021 24.375 4.83
991019 CGX * 19 991022 17.25 -9.22
991019 URI * 16.0625 991022 17.625 9.72
991020 CGX * 18.375 991025 17.375 -5.45
991020 PHSY * 33.0625 991025 33.0312 -0.1
991021 CINR ** 15.9375 991026 15.0937 -5.3
991021 CGX ** 17.25 991026 16.8125 -2.54
991022 SKYC ** 9.9375 991027 9.25 -6.92
991022 MCK ** 19.5 991027 20.3125 4.16
991025 USFS ** 9.875 991028 11.3125 14.55
991025 GBIX ** 32 991028 33.6875 5.27
991026 NOVT ** 11 991029 16.5 50
991026 SCAI ** 23.5 991029 23.0625 -1.87
991027 LTBG ** 15.625 991101 16.4375 5.2
991027 NCI ** 26.9375 991101 28.3125 5.1
991028 CTIX ** 16.1875 991102 18 11.19
991028 SW ** 14.5 991102 14.1875 -2.16
991029 OTEX *** 11.875 991103 12.9375 8.94
991029 ESRX *** 49.125 991103 54.125 10.17
991101 INCX *** 13.875 991104 14.375 3.6
991101 MKTY *** 18.8125 991104 16.5625 -11.97
991102 FTUS ** 18.25 991105 23.375 28.08
991102 MKTY ** 17 991105 15.875 -6.62
991103 NN ** 14.375 991108 16 11.3
991103 LMT ** 18.5625 991108 17.75 -4.38
991104 CQ * 16.6875 991109 16.9375 1.49
991104 PCLN * 53 991109 64.9375 22.52
991105 DSCM * 28.5 991110 30 5.26
991105 ELN * 23.375 991110 24.4375 4.54
991108 AEOS ** 35.125 991111 37.125 5.69
991108 OTEX ** 11.25 991111 14.1875 26.11
991109 IVIL * 23.625 991112 25.75 8.99
991109 ICCI * 21.9375 991112 23.5312 7.26
991110 AMES ** 24.875 991115 26.3125 5.77
991110 ETYS ** 52 991115 53.0625 2.04
991111 AMES * 22.5 991116 24.75 10
991111 MIR * 12.1875 991116 12.5625 3.07
991112 MDR *** 8.5625 991117 9.4375 10.21
991112 TRK *** 27.8125 991117 26 -6.52
991115 JNY * 26.6875 991118 26.25 -1.64
991115 JCP * 23.4375 991118 22.4375 -4.27
991116 AVIR * 16.125 991119 15.75 -2.33
991116 CR * 17.6875 991119 18.25 3.18
991117 KIDE ** 58.375 991122 54 -7.5
991117 STNR ** 14.3125 991122 14.875 3.93
991118 VIRS * 13.8125 991123 14.25 3.16
991118 WR * 19.9375 991123 19.5 -2.2
991119 MPPP * 43 991124 41.1875 -4.22
991119 VIRS * 13.125 991124 16.4375 25.23
991122 LSON *** 26.4375 991126 28.625 8.27
991122 MPPP *** 38.6875 991126 45.5 17.6
991123 NCI *** 11.4375 991129 11.25 -1.64
991123 KIDE *** 42.25 991129 66.75 57.98
991124 CBRL * 11.375 991130 11.2187 -1.38
991124 NCI * 11.1875 991130 10.875 -2.8
991126 DBD * 22.1875 991201 22.6875 2.25
991126 UCM * 32.8125 991201 32.0625 -2.29
991129 UCM * 31.6875 991202 32.9375 3.94
991129 TRB * 47 991202 49.25 4.78
991130 DITC ** 103.5 991203 119.25 15.21
991130 MMXI ** 37 991203 36.3125 -1.86
991201 DRTE * 26.125 991206 30.375 16.26
991201 NTZ * 14.9375 991206 15 0.41
991202 CPC * 17.1875 991207 20.1875 17.45
991202 SEE * 46.0625 991207 47 2.03
991203 WWFE ** 17.125 991208 18.8125 9.85
991203 TJX ** 19.5 991208 19.375 -0.65
991206 APA ** 32.5625 991209 33.25 2.11
991206 EOG ** 16.5 991209 16.0625 -2.66
991207 BHI ** 21.125 991210 18.625 -11.84
991207 EOG ** 15.125 991210 15.9375 5.37
991208 ARTC *** 41.375 991213 45.625 10.27
991208 NCOG *** 29.5625 991213 31.375 6.13
991209 ROV ** 17.5 991214 17.3125 -1.08
991209 MNMD ** 52.25 991214 54.75 4.78
991210 PZZA ** 23.3125 991215 25.2812 8.44
991210 LIN ** 25 991215 24.5 -2
991213 DLP ** 19.25 991216 18.25 -5.2
991213 BHI ** 17.75 991216 18.5 4.22
991214 TIVO ** 31.875 991217 26 -18.44
991214 CLIC ** 49.1875 991217 53 7.75
991215 TIVO ** 29 991220 33.5625 15.73
991215 NCOG ** 25.875 991220 27.6875 7
991216 TIVO *** 25.125 991221 33.75 34.32
991216 STN *** 17.1875 991221 18 4.72
991217 ACTN ** 10.125 991222 10.0625 -0.62
991217 OXHP ** 11.25 991222 11.125 -1.12
991220 THQI ** 25.9375 991223 24.0625 -7.23
991220 ACTN ** 9.25 991223 11.5312 24.66
991221 CRDT ** 8.375 991227 9.03125 7.83
991221 ETYS ** 32.9375 991227 30 -8.92
991222 IGOC *** 8.875 991228 8.9375 0.7
991222 TAN *** 42 991228 48.1875 14.73
991223 JAKK * 18.625 991229 19.625 5.36
991223 ALOY * 14.25 991229 14.75 3.5
991227 ETYS *** 25.9375 991230 26.9375 3.85
991227 STMP *** 48 991230 42.75 -10.94
991228 ASFD ** 11.375 991231 10.8125 -4.95
991228 GISX ** 10.375 991231 12.09375 16.56
991229 ZIXI * 38.625 000103 39.875 3.23
991229 STMP * 42.4375 000103 43.5625 2.65
991230 ODSI ** 8.875 000104 9 1.4
991230 ZIXI ** 35.625 000104 35.0625 -1.58
991231 USPL ** 7.6875 000105 7.875 2.43
991231 UBID ** 26.5 000105 29.5 11.32

 
Basic Strategy:
Average Return per trade: 4.7 %
Risk/Return ratio for one trade = 2.33
Probability of positive pure daily returns = 67.18 %

Low Risk Strategy-1:
Average Return per trade: 5.06 %
Risk/Return ratio for one trade = 2.38
Probability of positive pure daily returns = 65.9 %

Low Risk Strategy-2:
Average Return per trade: 7.93 %
Risk/Return ratio for one trade = 1.8
Probability of positive pure daily returns = 83.33 %