Quarterly data file
1996 - 1

(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 (%)
960103 VTEL 9.756
960103 XETA 14.666
960104 MCDY 32.142
960104 FTPS 12.631
960105 SYMC -6.667
960105 EXCA -16.204
960108 SYMC 14.634
960108 MANU 12.195
960110 SYNX -1.961
960110 IDTI -0.622
960111 Z -1.15
960111 ALN 0.694
960112 PSIX -12.879
960112 Z 0
960115 SYMM -1.22
960115 ASMIF 7.092
960117 BBN 1.731
960117 Z -1.235
960118 BBN 12.727
960118 Z 12.82
960119 GVIL 20.618
960119 TRID 30.188
960122 RIDE 2.547
960122 NIN 7.531
960123 RIDE 12.142
960123 LNOPF -5.209
960124 PLAT -7.34
960124 DURI -2.326
960125 PLAT 0
960125 DIMD 15.172
960126 SEI 4.663
960126 DNKY 0
960129 TWSTY 8.904
960129 DNKY -0.981
960130 AAPL 5.72
960130 ASAI 5.594
960131 CGNX 23.595
960131 UUNT -2.581
960201 NETC 0
960201 HYSW 4.687
960202 VH 4.519
960202 HYSW 21.311
960205 VLNT 3.508
960205 OLYM 11.428
960207 MXIS 22.222
960207 SCUR -1.516
960208 VLNT 36.734
960208 DNKY 0
960213 ROBV 0.781
960213 DAP 12.716
960214 PRGS 0
960214 EFII 14.401
960215 MERQ -11.429
960215 BAE -6.897
960216 CVTY 1.538
960216 DFS -3.429
960223 VLSI 3.124
960223 BEAM 16.129
960227 PSIX -5.618
960227 SPYG -6.566
960229 PRMS 12.213
960229 CLST -7.043
960301 MCHP 4.39
960301 CDTC 8.108
960304 CVN 12.987
960304 CMOS 6.428
960305 CLST -1.613
960305 RAIN -6.251
960306 MU 5.579
960306 EXGN -12.5
960307 NSCP 24.516
960307 PRXM 4.575
960308 HHC -4.412
960308 PRXM 12.5
960312 IDPH 27.007
960312 MLHR -0.651
960312 TEK 6.772
960312 IDXX 14.906
960313 IMUL 2.127
960313 FON -0.35
960315 TSEMF 3.846
960315 GEMS -1.133
960318 MRNR -1.527
960318 SYBS 0.469
960320 GILD 3.964
960320 SIGA 10
960322 BMET -0.91
960322 QDEK -9.866
960325 CUBE 18.965
960325 QDEK 10.416
960327 PRMS 15.929
960327 POT 1.652
960328 DR -22.369
960328 FLM -10.715
960329 EX 0.534
960329 RIDE -11.712
960401 ONTC 2.325
960401 SIII -6.383


Number of trading days = 63
Average 3-day return (%) = 4.14 +/- 8.07
Risk/Return Ratio for 3-day return (for two stocks) = 1.94
Probability of positive pure daily returns,  66.6 %

Return(Risk/Return) for the first stock selected (%): 5.2 ( 2.13 )
Return(Risk/Return) for the second stock selected (%): 3.09 ( 2.95 )

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