Quarterly data file
1996 - 3


(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 (%)
960703 ASGR 15.463
960703 PRZM 7.142
960705 IPEC -3.175
960705 RAYS 13.669
960709 CBB -5.32
960709 WKGP -16.667
960710 OCCF -6.251
960710 MACR 7.499
960711 AORI 12.499
960711 CPTS -4.762
960712 ANN 0
960712 CPTS -2.501
960715 GBOT 34.042
960715 ADSK 2.976
960716 ADSK 11.999
960716 SDRC 23.985
960717 BOP -4.061
960717 DDIM 16.47
960718 NKOT 2.739
960718 AMER 0
960722 NN 0.862
960722 PRMS -1.493
960723 GSMS 10.638
960723 PCMS 14.641
960724 SHVA 11.34
960724 SRA 2.068
960725 ATSW 23.809
960725 SRA 7.299
960726 USRX 3.301
960726 GSMS -10.068
960729 ACNTF 18.181
960729 NSCP -1.243
960730 GSMS 13.868
960730 CDCO 2.307
960801 CKFR 8.988
960801 VH 2.419
960806 FSCX -2.47
960806 GND -2.986
960808 BOG 2.272
960808 GND 0.769
960809 VLNT 1.265
960809 SCIXF 0.934
960814 ALDNF 5.333
960814 PSSI 8.846
960815 PSSI 21.666
960815 BBTK 7.317
960816 IMNT 6.557
960816 RAPT 3.278
960819 IMNT 26.495
960819 HCIA 1.622
960820 NPPI 3.846
960820 HCIA 1.477
960822 VCI -0.82
960822 ACNTF 4.21
960826 SKEY 10.655
960826 EISI 7.377
960828 PMSI 7.954
960828 SUN -1.571
960903 URMD 2.564
960903 AWA -2.804
960904 DOCI 7.692
960904 ROTC 1.709
960905 ALRN 7.619
960905 GART 11.415
960906 IRF 2.857
960906 MCSY 0
960910 WHC 8.749
960910 MACR 13.333
960911 WFR 0
960911 THTX 4.854
960913 WFR 14.723
960913 MOVI -3.158
960923 WFMI 18.749
960923 PCMS 18.749
960925 WTSLA 11.29
960925 HOLX -4.386
960926 AVID 6.73
960926 GES -3.637
960927 WCII 8.871
960927 HM 3.448
960930 DIGI -25
960930 CENT 4.968



Number of trading days = 62
Average 3-day return (%) = 4.43 +/- 6.92
Risk/Return Ratio for 3-day return (for two stocks) = 1.56
Probability of positive pure daily returns = 79 %


Return(Risk/Return) for the first stock selected (%): 5.95 ( 1.72 )
Return(Risk/Return) for the second stock selected (%): 2.92 ( 2.61 )

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