Quarterly data file

2001 - 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 %
010702 ESV * 22.15 010706 22.33 0.81
010702 PTEN * 18.03 010706 18.76 4.04
010703 IMNY ** 8.1 010709 7.85 -3.09
010703 CATT ** 19.2 010709 20 4.16
010705 PHCC * 21.64 010710 20 -7.58
010705 PVTL * 13.33 010710 11.85 -11.11
010706 TIBX ** 10.85 010711 10.86 0.09
010706 PVTL ** 12.08 010711 11.46 -5.14
010709 ISSX * 26.24 010712 25.89 -1.34
010709 CHBS * 25.6 010712 26.335 2.87
010710 ISSX * 24.24 010713 25.01 3.17
010710 PRCS * 11.12 010713 12.7 14.2
010711 CMVT * 25.95 010716 26.5 2.11
010711 EMC * 20.3 010716 22.2 9.35
010712 TEO ** 10.89 010717 10.7 -1.75
010712 NOI ** 20.44 010717 18.25 -10.72
010713 PDE * 15.01 010718 14.15 -5.73
010713 GGAL * 10.75 010718 11.66 8.46
010716 VTS *** 20.25 010719 21.61 6.71
010716 GLBL *** 10.1 010719 9.9 -1.99
010717 GEG ** 19 010720 21 10.52
010717 LSS ** 23.5 010720 23.25 -1.07
010718 PROX *** 8.89 010723 9.15 2.92
010718 EMC *** 18.05 010723 19 5.26
010719 ACPW *** 9.2 010724 8.29 -9.9
010719 IWOV *** 11.06 010724 10.22 -7.6
010720 PLUG *** 12.46 010725 12.6 1.12
010720 IWOV *** 9.93 010725 9.835 -0.96
010723 DIGL ** 19.95 010726 19.25 -3.51
010723 ADIC ** 11 010726 11.2 1.81
010724 MUSE ** 13.44 010727 13.7 1.93
010724 NPSP ** 27.59 010727 29.87 8.26
010725 HIFN * 9.48 010730 9.76 2.95
010725 PGTV * 11.61 010730 12.7 9.38
010726 IONA *** 16.7 010731 18.07 8.2
010726 HIBB *** 21.25 010731 20.95 -1.42
010727 CRGN * 23.93 010801 23.04 -3.72
010727 HIBB * 21.05 010801 22 4.51
010730 CRGN * 22.85 010802 22.99 0.61
010730 LTBG * 10.7 010802 10.99 2.71
010731 RSTN ** 12.25 010803 15.5 26.53
010731 TVLY ** 23.05 010803 26.14 13.4
010801 AVIR * 23.5 010806 25.81 9.82
010801 UNS * 17.9 010806 18 0.55
010802 OO *** 11.03 010807 12.68 14.95
010802 DSGX *** 8.8 010807 7.51 -14.66
010803 RADS * 10 010808 9.31 -6.9
010803 GLFD * 15.74 010808 14.5 -7.88
010806 PSUN * 16.34 010809 17.28 5.75
010806 GLFD * 15.15 010809 13.85 -8.59
010807 CESI * 12.18 010810 10.6 -12.98
010807 ORBK * 24 010810 23.5 -2.09
010808 PLMD *** 15.3 010813 15.07 -1.51
010808 CANI *** 11.55 010813 11.11 -3.81
010809 VRTY *** 9.62 010814 9.95 3.43
010809 CNC *** 9.6 010814 9.28 -3.34
010810 WEBM * 11.61 010815 11.81 1.72
010810 CANI * 10.85 010815 11.005 1.42
010813 LWIN * 16.78 010816 16.2 -3.46
010813 DT * 17.23 010816 16.39 -4.88
010814 TELM ** 9.09 010817 9.97 9.68
010814 EMKR ** 17.35 010817 14.79 -14.76
010815 BLDP ** 29.17 010820 22.64 -22.39
010815 EMKR ** 15.91 010820 14.99 -5.79
010816 BLDP ** 27 010821 23.73 -12.12
010816 EMKR ** 14.79 010821 14.61 -1.22
010817 BLDP ** 23.65 010822 22.3 -5.71
010817 ELON ** 17.75 010822 17.75 0
010820 AMSC * 12.75 010823 11.91 -6.59
010820 MDCO * 12.03 010823 11.51 -4.33
010821 RIMM *** 16.37 010824 18.04 10.2
010821 FDRY *** 12.85 010824 13.63 6.07
010822 JNPR * 16.32 010827 17.18 5.26
010822 ONIS * 14.96 010827 14.57 -2.61
010823 IMCO ** 16.05 010828 17.12 6.66
010823 ONIS ** 14.05 010828 14.54 3.48
010824 TSM * 12 010829 13.08 8.99
010824 BKH * 31.85 010829 32.16 0.97
010827 PXLW * 15.95 010830 13.99 -12.29
010827 TEE * 18.7 010830 18.5 -1.07
010828 PXLW *** 13.92 010831 14.16 1.72
010828 HOMS *** 16.3 010831 16.2 -0.62
010829 HOMS * 14.96 010904 16.61 11.02
010829 SMTF * 29.01 010904 29.03 0.06
010830 HC ** 24.08 010905 25.75 6.93
010830 IMCO ** 13.66 010905 14.81 8.41
010831 VECO * 29.24 010906 26.5 -9.38
010831 ULCM * 12 010906 9.75 -18.75
010904 ARNA ** 12.58 010907 11.1 -11.77
010904 GLW ** 11.13 010907 10.52 -5.49
010905 TCP *** 8.28 010910 6.63 -19.93
010905 GOTO *** 16.02 010910 14.2 -11.37
010906 GOTO ** 13.51 010917 13.64 0.96
010906 MEDC ** 18.17 010917 15.25 -16.08
010907 NETE ** 13.06 010918 11.53 -11.72
010907 PVN ** 25.72 010918 21.7 -15.63
010910 PWR ** 13.3 010919 11.9 -10.53
010910 CMLS ** 9.98 010919 9.1 -8.82
010917 ESST *** 8.77 010920 7.19 -18.02
010917 ROIAK *** 11.1 010920 10.12 -8.83
010918 ROOM *** 22.64 010921 21.51 -5
010918 BAB *** 25.26 010921 19.65 -22.21
010919 ZRAN *** 17.28 010924 19.81 14.64
010919 GR *** 19.85 010924 17.55 -11.59
010920 CAL *** 13.95 010925 16 14.69
010920 TGI *** 23.1 010925 23.2 0.43
010921 MHX ** 8.65 010926 10.29 18.95
010921 ISIL ** 21.65 010926 27.3 26.09
010924 YBTVA * 14.49 010927 13.01 -10.22
010924 QGENF * 12.65 010927 12.5 -1.19
010925 LSS * 11.25 010928 12 6.66
010925 TMCS * 9.78 010928 9.95 1.73
010926 PMCS *** 11.72 011001 10.24 -12.63
010926 XLNX *** 21.64 011001 24.525 13.33
010927 PMCS ** 10.05 011002 9.91 -1.4
010927 EMMS ** 12.99 011002 13.46 3.61
010928 OPMR * 24.5 011003 19.01 -22.41
010928 SKX * 11.68 011003 10.48 -10.28

Basic Strategy:
Average Return per trade: -1.06 %
Risk/Return ratio for one trade = -8.98
Probability of positive pure daily returns = 55.93 %

Low Risk Strategy-1:
Average Return per trade: -0.99 %
Risk/Return ratio for one trade = -10.72
Probability of positive pure daily returns = 54.28 %

Low Risk Strategy-2:
Average Return per trade: -1.62 %
Risk/Return ratio for one trade = -6.21
Probability of positive pure daily returns = 68.75 %