Quarterly data file

2000 - 3

(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 %
000703 TSP * 17.5 000707 17.875 2.14
000703 EMIS * 40.625 000707 37.875 -6.77
000705 AHAA ** 39.125 000710 38.9375 -0.48
000705 EMIS ** 38.0625 000710 41.6875 9.52
000706 TFS * 50.5 000711 67 32.67
000706 FTHL * 13.125 000711 14.1875 8.09
000707 NESY ** 15.0625 000712 14.375 -4.57
000707 GOTO ** 12.1875 000712 12.4375 2.05
000710 CREO ** 16.875 000713 16.375 -2.97
000710 ENTU ** 31.875 000713 29.5 -7.46
000711 ENTU *** 26.9375 000714 35.25 30.85
000711 BVSN *** 35.06 000714 43.5 24.07
000712 CPRK * 10.875 000717 10.625 -2.3
000712 SBSA * 11.0625 000717 10.625 -3.96
000713 CRDS * 17.5 000718 18.6875 6.78
000713 CPRK * 10.5625 000718 10.875 2.95
000714 PWR * 46 000719 43.6875 -5.03
000714 MEDQ * 31.4375 000719 30.7812 -2.09
000717 SRNA ** 29 000720 29.0625 0.21
000717 CPTL ** 25 000720 23.25 -7.01
000718 BBOX ** 52.9375 000721 52.75 -0.36
000718 ENTU ** 31.875 000721 33.5 5.09
000719 TFS ** 33.3125 000724 31.5 -5.45
000719 USWC ** 16.125 000724 17 5.42
000720 TFS * 32.5 000725 30.25 -6.93
000720 SSOL * 53.5 000725 42.25 -21.03
000721 LRCX ** 26.25 000726 29.6875 13.09
000721 CPTL ** 21 000726 23.5 11.9
000724 NGEN *** 24.75 000727 26.1875 5.8
000724 PKS *** 16.25 000727 15.125 -6.93
000725 ZOLL ** 32.1875 000728 39.5 22.71
000725 GENE ** 20.1875 000728 22.75 12.69
000726 NIS ** 11.8125 000731 11.375 -3.71
000726 ITXC ** 26.875 000731 18.84375 -29.89
000727 IBEM *** 11 000801 12 9.09
000727 ITXC *** 23 000801 18.375 -20.11
000728 ITXC ** 19.625 000802 17.96875 -8.44
000728 GRIC ** 9.3125 000802 7.25 -22.15
000731 ITXC * 18.125 000803 18.15625 0.17
000731 PCLN * 23.625 000803 24.0625 1.85
000801 SIFY * 13.4375 000804 13.0625 -2.8
000801 NIS * 11 000804 11.375 3.4
000802 INSP ** 31.4375 000807 30.1875 -3.98
000802 SSSW ** 29.125 000807 31.40625 7.83
000803 GSLI ** 21.25 000808 21.84375 2.79
000803 FLSH ** 48.84375 000808 58.3125 19.38
000804 ROBV * 10.1875 000809 9.625 -5.53
000804 VOXX * 14.6875 000809 16.4375 11.91
000807 DMIC * 21.6875 000810 23 6.05
000807 KLIC * 15.875 000810 15.71875 -0.99
000808 MEAD ** 15.125 000811 14.75 -2.48
000808 ASYT ** 17.3125 000811 17.6875 2.16
000809 WINK ** 13.4375 000814 11.65625 -13.26
000809 RCOM ** 17.375 000814 14.125 -18.71
000810 RCOM * 15.0625 000815 14.5625 -3.32
000810 NIKU * 19 000815 21.5 13.15
000811 RCOM * 14.3125 000816 16.0625 12.22
000811 COMM * 11.25 000816 11.875 5.55
000814 LYNX * 24 000817 26.5 10.41
000814 ITCD * 13.625 000817 13.875 1.83
000815 TECH ** 77.375 000818 74.03125 -4.33
000815 MPWR ** 35.25 000818 32.875 -6.74
000816 IVX * 25 000821 29.75 18.99
000816 MPWR * 33.5625 000821 33.25 -0.94
000817 STRM * 10.125 000822 9.8125 -3.09
000817 TECH * 73.75 000822 76.6875 3.98
000818 NTSL ** 7.75 000823 8.5 9.67
000818 AG ** 10 000823 10.75 7.5
000821 PRGS * 11.4375 000824 11.4375 0
000821 PXCM * 31.375 000824 29 -7.57
000822 PXCM * 28.375 000825 26.375 -7.05
000822 TTN * 21.75 000825 23.75 9.19
000823 TRIH * 21.9375 000828 23.4375 6.83
000823 U * 33.0625 000828 33.625 1.7
000824 CCBL ** 19 000829 20 5.26
000824 NUAN ** 121.125 000829 130.75 7.94
000825 VIAN ** 21 000830 15.5625 -25.9
000825 PXCM ** 24.25 000830 23.4375 -3.36
000828 VIAN ** 17.9375 000831 14.8125 -17.43
000828 PRSF ** 44.8125 000831 51.6875 15.34
000829 VIAN ** 16.4375 000901 8.875 -46.01
000829 CXR ** 20.5 000901 20.8125 1.52
000830 GLIA *** 8.875 000905 8.0938 -8.81
000830 VIAN *** 14.5 000905 8.3438 -42.46
000831 SCNT *** 27.0625 000906 23.375 -13.63
000831 PSUN *** 13.3125 000906 12.875 -3.29
000901 VIAN *** 8.1875 000907 8.21875 0.38
000901 SCNT *** 22 000907 22.125 0.56
000905 RCOM ** 11.5625 000908 10.25 -11.36
000905 ETM ** 34.3125 000908 34 -0.92
000906 NTPA *** 21.75 000911 22.9375 5.45
000906 RCOM *** 10 000911 10 0
000907 MPWR *** 12.3125 000912 8.71875 -29.19
000907 WCII *** 22.5 000912 21.9375 -2.51
000908 MPWR *** 8.875 000913 8 -9.86
000908 UVN *** 35.125 000913 40.5 15.3
000911 FIBR ** 36 000914 40.21875 11.71
000911 ROIAK ** 13.8125 000914 14.875 7.69
000912 PDYN *** 15.625 000915 16.9375 8.39
000912 FTHL *** 11.25 000915 11.75 4.44
000913 ASIA ** 23.125 000918 23.6875 2.43
000913 MPWRP ** 15.4375 000918 15.5 0.4
000914 SYKE * 10.3125 000919 4.75 -53.94
000914 ASIA * 22.1875 000919 22.375 0.84
000915 ALLR *** 17.5 000920 10.20313 -41.7
000915 COMM *** 9.03125 000920 8.71875 -3.47
000918 ALLR *** 10.4375 000921 9.875 -5.39
000918 FTHL *** 10.125 000921 10.5625 4.32
000919 PSIX * 10.0625 000922 10.125 0.62
000919 ALLR * 10.1875 000922 9.3125 -8.59
000920 PCS *** 33 000925 29.75 -9.85
000920 APCS *** 15 000925 14.875 -0.84
000921 LHSP *** 15.125 000926 14 -7.44
000921 CLRS *** 29.375 000926 30.25 2.97
000922 ROIAK *** 8.4375 000927 5.703125 -32.41
000922 ROIA *** 10.9375 000927 7.75 -29.15
000925 ROIA *** 7.96875 000928 8.15625 2.35
000925 MCAF *** 13.375 000928 13 -2.81
000926 OTEC *** 10.5625 000929 11.9375 13.01
000926 TPCS *** 26.875 000929 26.625 -0.94
000927 PCOP *** 22.5 001002 28 24.44
000927 VNTR *** 9.09375 001002 11 20.96
000928 EXAP ** 12.6875 001003 3.75 -70.45
000928 NTPA ** 11.0625 001003 10.5 -5.09
000929 EXAP *** 4.53125 001004 3.328125 -26.56
000929 ISSI *** 14.1875 001004 15.8125 11.45
001002 PKSI *** 10.875 001005 7.34375 -32.48
001002 LMS *** 10.3125 001005 12.0625 16.96


Basic Strategy:
Average Return per trade: -1.94 %
Risk/Return ratio for one trade = -8.08
Probability of positive pure daily returns = 46.87 %

Low Risk Strategy-1:
Average Return per trade: -3.04 %
Risk/Return ratio for one trade = -5.53
Probability of positive pure daily returns = 38.63 %

Low Risk Strategy-2:
Average Return per trade: -3.23 %
Risk/Return ratio for one trade = -5.46
Probability of positive pure daily returns = 35 %