Quarterly data file

2000 - 2

(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 %
000403 EBNX *** 21.5 000406 24.625 14.53
000403 STMP *** 14.4375 000406 17.25 19.48
000404 ENGA *** 33 000407 41 24.24
000404 SMDK *** 16.375 000407 27 64.88
000405 NCNT ** 16.8125 000410 28.1875 67.65
000405 CDTS ** 19.375 000410 27.46875 41.77
000406 MMPT * 23.125 000411 20.125 -12.98
000406 VYTL * 41.25 000411 37.6875 -8.64
000407 BRNC * 21.75 000412 21.4375 -1.44
000407 TKTX * 39.125 000412 34.375 -12.15
000410 BRNC * 21 000413 21.25 1.19
000410 NVDM * 12.125 000413 12.25 1.03
000411 MYTN *** 12.125 000414 10 -17.53
000411 KEYN *** 45.5 000414 36.5625 -19.65
000412 ONDS *** 32.54688 000417 22.5 -30.87
000412 VPHM *** 16.875 000417 14 -17.04
000413 FMKT *** 55 000418 56.125 2.04
000413 QSFT *** 30.25 000418 28.1875 -6.82
000414 INTF *** 15.375 000419 15 -2.44
000414 IONN *** 9.375 000419 14.5 54.66
000417 MIPS * 27.9375 000420 30.625 9.61
000417 ANDN * 11.875 000420 14.125 18.94
000418 SKIL * 12 000424 12 0
000418 MCAF * 22.875 000424 26.375 15.3
000419 TERN * 80.875 000425 86 6.33
000419 TERN * 80.875 000425 86 6.33
000420 TENF * 25.75 000426 25.0312 -2.8
000420 TENF * 25.75 000426 25.0312 -2.8
000424 PILT *** 11.3125 000427 14.0625 24.3
000424 PILT *** 11.3125 000427 14.0625 24.3
000425 TSCN * 10.3125 000428 8.9375 -13.34
000425 EFNT * 56.5 000428 57 0.88
000426 HIFN * 30.25 000501 34.875 15.28
000426 RCNC * 28.6875 000501 29.84375 4.03
000427 N/A * 0 000502 0 0
000427 N/A * 0 000502 0 0
000428 N/A * 0 000503 0 0
000428 N/A * 0 000503 0 0
000501 N/A * 0 000504 0 0
000501 N/A * 0 000504 0 0
000502 OATS * 11.75 000505 11 -6.39
000502 AEOS * 16.5625 000505 17.3125 4.52
000503 LE * 35.75 000508 34.125 -4.55
000503 MAI * 12.0625 000508 12.0625 0
000504 T * 38.4375 000509 37.375 -2.77
000504 DEBS * 11.5 000509 12.8125 11.41
000505 FPIC ** 11.1875 000510 11.0625 -1.12
000505 TTPA ** 22.375 000510 24.5 9.49
000508 GOTO * 25.375 000511 21.5625 -15.03
000508 NOVL * 10.5 000511 10.5 0
000509 ADIC ** 14.9375 000512 18.8125 25.94
000509 GOTO ** 23.75 000512 21.3125 -10.27
000510 LATD *** 10.5625 000515 10.375 -1.78
000510 VOXX *** 24.1875 000515 25.46875 5.29
000511 LATD * 10.3125 000516 10.5 1.81
000511 NPLS * 13.625 000516 12.625 -7.34
000512 LTXX ** 30 000517 32.5 8.33
000512 NPLS ** 12.6875 000517 12.75 0.49
000515 VIAD ** 13.125 000518 12.125 -7.62
000515 ESIM ** 9.375 000518 9.1875 -2
000516 COVD * 20 000519 25.6875 28.43
000516 GOTO * 20.625 000519 18.375 -10.91
000517 QXLC ** 11.1875 000522 9 -19.56
000517 VNTR ** 22.375 000522 20.9375 -6.43
000518 VIAD *** 10.5 000523 11.5 9.52
000518 AZPN *** 23.1875 000523 21.75 -6.2
000519 UPCOY *** 19.5 000524 19.3125 -0.97
000519 BALT *** 12 000524 11.3125 -5.73
000522 NTOP ** 27.25 000525 24.75 -9.18
000522 TZIX ** 11.9375 000525 11.875 -0.53
000523 ZTEL *** 13.5625 000526 14.875 9.67
000523 ANAD *** 28.6875 000526 27 -5.89
000524 XLA ** 23.3125 000530 26 11.52
000524 SPYG ** 28.375 000530 29.875 5.28
000525 NANO *** 21 000531 26 23.8
000525 LVEL *** 13.125 000531 18.0625 37.61
000526 CRDS *** 34.125 000601 39.5 15.75
000526 SIFY *** 16.8125 000601 21.75 29.36
000530 PSUN * 16.125 000602 12.9375 -19.77
000530 CRDS * 37.25 000602 41.1875 10.57
000531 ZTEL * 12.875 000605 14.125 9.7
000531 PLMD * 26.625 000605 31.625 18.77
000601 CLPA * 18.64063 000606 23 23.38
000601 PLMD * 25.9375 000606 36.4375 40.48
000602 GADZ * 9.8125 000607 9 -8.29
000602 EFII * 35.875 000607 24.1875 -32.58
000605 ASPM ** 24.1875 000608 21.5625 -10.86
000605 USFC ** 25.9375 000608 25.90625 -0.13
000606 EFII *** 23.9375 000609 25.75 7.57
000606 ORCT *** 24.9375 000609 26.125 4.76
000607 ATCM ** 12.125 000612 12 -1.04
000607 ORCT ** 23.4375 000612 25.75 9.86
000608 UTSI * 18.875 000613 18.1875 -3.65
000608 SWFT * 13.125 000613 12.96875 -1.2
000609 EFII * 24.625 000614 24.6875 0.25
000609 LEA * 22 000614 22.5625 2.55
000612 DAVX ** 12.03125 000615 11.125 -7.54
000612 FFTI ** 10 000615 9.5 -5.01
000613 DAVX * 10.875 000616 10.9375 0.57
000613 PGTV * 32.1875 000616 36.5 13.39
000614 INDYY *** 8.5 000619 7.75 -8.83
000614 MCRS *** 18.4375 000619 18.5625 0.67
000615 DRIV * 7.75 000620 7.6875 -0.81
000615 GPSI * 21.625 000620 20.46875 -5.35
000616 USB * 19.8125 000621 20.375 2.83
000616 ARTC * 54.92188 000621 46.5625 -15.23
000619 ARTC * 50.75 000622 54.0625 6.52
000619 GWW * 30.5 000622 30.125 -1.23
000620 ZOMX ** 12.625 000623 14.375 13.86
000620 HON ** 36 000623 35.125 -2.44
000621 MTZ * 37 000626 33.5 -9.46
000621 COVD * 16.625 000626 17.875 7.51
000622 MTZ * 33.8125 000627 35 3.51
000622 BOH * 16 000627 15.9375 -0.4
000623 CAO * 7.875 000628 7 -11.12
000623 MTZ * 32.4375 000628 37.75 16.37
000626 SONE * 18.4375 000629 23.5625 27.79
000626 HON * 34.125 000629 33.375 -2.2
000627 SAWS * 49.9375 000630 54.75 9.63
000627 XRX * 19.1875 000630 19 -0.98
000628 OWC ** 9.9375 000703 9.3125 -6.29
000628 GIGM ** 12 000703 11.96875 -0.27

 
Basic Strategy:
Average Return per trade: 3.75 %
Risk/Return ratio for one trade = 4.25
Probability of positive pure daily returns = 54.09 %

Low Risk Strategy-1:
Average Return per trade: 6.3 %
Risk/Return ratio for one trade = 3.1
Probability of positive pure daily returns = 60.71 %

Low Risk Strategy-2:
Average Return per trade: 8.29 %
Risk/Return ratio for one trade = 2.51
Probability of positive pure daily returns = 66.66 %