Quarterly data file

1997 - 2


(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 (%)
970402 REDB 1.388
970402 PHYS -4.211
970403 PSDI -3.197
970403 DLGC 26.07
970404 CKP 17.283
970404 ABCR 12.727
970407 PSDI 0
970407 CKP 13.75
970408 RDA -1.861
970408 PMTC 6.624
970409 VH -2.128
970409 PCTL -1.235
970410 ADVNB 1.176
970410 JLG 2.061
970411 ADVNB 16.666
970411 ADVNA 18.769
970414 CHK -0.794
970414 PEV 0
970415 JLG 2.15
970415 PMK 1.973
970417 FINL 8.91
970417 IDPH 7.692
970418 ENBX 2.919
970418 FLH 8.176
970421 VSVR 21.818
970421 FRTE 27.272
970422 QCOM 12.094
970422 RYC 1.814
970423 SFC 0
970423 AAM 1.869
970424 INSO -5.344
970424 REY 0.645
970425 SANG 17.272
970425 ZITL 1.041
970429 PRWW -1.283
970429 ACCC 16.101
970502 PAIR 12.195
970502 AAM -7.447
970505 PETM -13.484
970505 IVCR 15.068
970506 CVE 0
970506 DLP 9.77
970507 ESV 8.579
970507 ACCC 5.109
970512 VVUS -1.588
970512 DISH -2.858
970513 DISH 6.315
970513 GDYS 16.535
970514 MTZ 3.902
970514 NIN 2.985
970515 CYTC -4.286
970515 ELM 0
970516 CYTC -2.942
970516 IIN 4.21
970519 MPARY -2.041
970519 MUEI 3.474
970520 MPARY 4.301
970520 SBL 2.542
970521 RDRT -2.907
970521 CUBE -2
970522 CUBE 20.863
970522 COF 0.796
970523 WDC 12.293
970523 SEG 10.248
970527 CFMT 8.056
970527 FDY 3.846
970528 ENBX 5.982
970528 BOST 3.448
970529 BOST -3.732
970529 CHRI 2.941
970530 UACA 19.148
970530 CHRI 7.751
970602 ADTN -0.255
970602 KMAG -3.948
970603 KMAG 2.884
970603 LCOS 8.163
970605 ADTN 13.793
970605 SCOP 0.46
970610 XYLN 1.754
970610 WMB 1.234
970611 IDTI 1.25
970611 WCII 2.59
970612 HPRT 1.265
970612 XIRC 16.477
970617 SCOP 22.222
970617 FLH 4.098
970618 HPRT 12.837
970618 PSDI -8.731
970619 NWAC 4.797
970619 PSDI -7.129
970623 CLFY 11.25
970623 DDIM 0.534
970624 USF 0.681
970624 TRID -3.334
970625 ACTL 0.751
970625 TRID 5.882
970626 KMAG -1.499
970626 DDIM 4.899
970627 CHK -1.37
970627 KMAG 0
970630 VRTX 3.921
970630 PAIR 10.08
970701 AAPL 5.687
970701 RAPT 7.058



Number of trading days = 64
Average 3-day return (%) = 5.4 +/- 5.95
Risk/Return Ratio for 3-day return (for two stocks) = 1.1
Probability of positive pure daily returns =  79.6 %


Return(Risk/Return) for the first stock selected (%): 4.85 ( 1.56 )
Return(Risk/Return) for the second stock selected (%): 5.94 ( 1.42 )

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