Quarterly data file

1996 - 4

(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 (%)
961002 NOVN 12.857
961002 DIGI -10.001
961003 EISI -3.175
961003 DIGI -2.986
961004 PCOL 1.052
961004 DNKY 12.871
961007 DRTK 0.98
961007 ASPX -1.924
961008 PROX -4.396
961008 HCIA -10.925
961009 APMC -8.197
961009 HCIA -3.14
961010 AMM -3.659
961010 ADTN 9.523
961011 AMM -1.283
961011 RIDE 0
961014 NETC 13.157
961014 SHVA -0.565
961015 PHYN -2.174
961015 DSTM -9.757
961017 VFI 7.346
961017 RXSD 3.553
961018 RTWI -1.283
961018 OO 1.652
961022 URBN 3.305
961022 MLTN 21.212
961023 SAM 3
961023 PASW 25.944
961024 LHSPF 15.753
961024 VTA -0.453
961025 HMTT -3.739
961025 AVEI -5.001
961028 TSIX 5.714
961028 EDS 8.814
961029 IMNT 26.086
961029 UOUT 13.333
961030 CNTO 5.116
961030 PPDI 0.645
961031 CTSC 17.829
961031 FLH 1.388
961101 CARN -6.173
961101 FLH 12.546
961104 BOBJY 4.444
961104 CARN 5.714
961105 ALLP 24.571
961105 ACCC -0.736
961106 HSTR 3.076
961106 SLOT -3.265
961112 SLOT 12.863
961112 INTS 24.409
961113 MTEL 3.333
961113 ATIS 10.975
961115 HMSY 6.034
961115 USSB -8.572
961118 ABRX -3.642
961118 USSB 10.465
961119 WIRL 6.578
961119 SYSF -1.568
961121 SEBL 22.727
961121 WTSLA -7.921
961126 WTSLA 3.448
961126 NETVA 1.282
961127 OLS -1.786
961127 INSS 10.084
961129 OLS 0
961129 SYSF -11.565
961202 TRV -3.09
961202 RPCX 3.954
961204 CCRO 28.767
961204 SYSF 9.6
961205 EAGL -4.192
961205 DANKY 1.311
961206 EAGL -7.052
961206 GAL -15.076
961211 CHK 0.973
961211 SSAX 4.21
961212 AAM -3.285
961212 FORE -3.943
961213 FORE 9.16
961213 KMAG 2.162
961216 GAL -2.74
961216 RGIS -0.807
961217 AGAM 5.555
961217 LCI -13.726
961218 LRCX 8.181
961218 PAYX 4.336
961219 SIH -0.975
961219 OSYS 7.304
961220 XYLN 25.654
961220 MWHS 4.301
961224 VANS -1.099
961224 ATCT 7.446
961227 PSSI 8.181
961227 CLE 11.956
961231 AEOS 17.46
961231 HLIT 2.439



Number of trading days = 64
Average 3-day return (%) = 4.17 +/- 6.4
Risk/Return Ratio for 3-day return (for two stocks) = 1.53
Probability of positive pure daily returns =  75 %

Return(Risk/Return) for the first stock selected (%): 4.82 ( 1.81 )
Return(Risk/Return) for the second stock selected (%): 3.52 ( 2.61 )

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