Quarterly data file

1997 - 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 (%)
970703 SYBS 9.999
970703 BTGC -1.099
970707 PDG 4.017
970707 BTGC 7.272
970708 CACC 5.376
970708 ENBX -10.304
970709 SLCTY -28.572
970709 GADZ 11.524
970710 PRRC 21.249
970710 PSUN 0
970714 HOTT 21.6
970714 SFDS 4.639
970715 JLG 1.47
970715 CEPH -2.326
970717 BROD 4.545
970717 GLH 7.307
970718 BTGI 12.087
970718 TEAM -27.953
970721 TEAM 36.249
970721 OO 3.37
970722 SYKE 1.162
970722 CUNO 4.629
970724 SPW 1.641
970724 UFEM 0
970725 SWW 13.242
970725 UFEM -0.579
970728 NMGC 4.225
970728 TEAM 2.617
970730 NS -0.827
970730 CSGS 5.464
970801 CVE -0.569
970801 HOLX 6.626
970804 JH 2.341
970804 SEAC 7.692
970805 STAR 0
970805 RHBC 2.678
970806 NEOP -2.198
970806 CCCG 5.217
970808 NCSS -2.041
970808 ICII -0.629
970811 LTRE 2.702
970811 PHYC -1.732
970812 USCS 0
970812 PFE 0
970813 AMGN 0.761
970813 VO 1.996
970814 FEET -1.551
970814 SPYN -7.223
970815 KO 3.51
970815 OLOG 4.511
970818 G 5.869
970818 MMTCY -6.396
970819 PBY -1.208
970819 G -0.875
970820 FEET 4
970820 PBY -0.955
970821 JOINA 7.058
970821 GC 4.819
970822 HLI 6.077
970822 MCIC -3.55
970826 IVCR 6.211
970826 WONE 0.446
970827 TTRA 0.296
970827 MWL 10.096
970828 BEAS 3.63
970828 GLW 1.756
970829 AAM 4.878
970829 HKT 0.589
970902 KF 4.545
970902 TAR 1.256
970904 GEMS 2.38
970904 BTH -3.334
970905 NBTY -3.822
970905 ASD 3.201
970908 IPIC 7.894
970908 QTEL 2.127
970909 GLW -13.266
970909 RWTI 9.416
970911 GLW 1.341
970911 RMBS 2.857
970912 VNTV -6.683
970912 RFMD -1.146
970918 GEMS 5.357
970918 BGEN 9.411
970919 GAL -1.251
970919 IONAY 0.465
970922 CYMI 0.618
970922 ISSI -3.192
970923 CERN 13.276
970923 RMBS 13.539
970925 DGN 3.846
970925 HDCO -0.228
970926 HDCO -6.797
970926 GUC 7.102
970930 SCOP -2.363
970930 SIII 3.191
971001 IMNT -14.595
971001 ACTL 0.735



Number of trading days = 64
Average 3-day return (%) = 2.15 +/- 5.39
Risk/Return Ratio for 3-day return (for two stocks) = 2.5
Probability of positive pure daily returns =  67.1 %


Return(Risk/Return) for the first stock selected (%): 1.8 ( 5.25 )
Return(Risk/Return) for the second stock selected (%): 2.5 ( 2.69 )

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