Quarterly data file

1997 - 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 (%)
971002 ESST 1.886
971002 NS 1.606
971007 KLIC 3.061
971007 CLSR 7.692
971008 ACTL 4.641
971008 GDYS -12.904
971009 RATL 8.227
971009 GDYS 5.263
971010 GDYS 3.763
971010 WRC 2.803
971014 EGLS -4.557
971014 IRF -9.091
971015 WFR -5.057
971015 DAOU 16.256
971016 LSI 3.906
971016 KEP -3.615
971017 XLNX 13.745
971017 SUNW 2.605
971020 REMC 1.165
971020 DPMI -8.654
971021 DPMI -6.123
971021 UTR 2.471
971022 RDHS 3.496
971022 CACC -39.744
971023 IPEC -26.316
971023 AXYS -27.273
971024 CMOS 10.707
971024 ETEC 6.158
971028 OXHP 5.418
971028 GUC 8.424
971029 PAP 2.173
971029 ALN 4.482
971030 TBR 19.23
971030 BRKS 14.881
971031 BOST -1.399
971031 GHV -9.184
971103 GHV 2.949
971103 CEXP 1.276
971105 DDIM -5.206
971105 OXHP 8.376
971106 ZITL -4.907
971106 DDIM 0.578
971107 UBB -20.001
971107 PEGA -8.844
971110 WDC -7.184
971110 YURI 10.344
971111 UBB -3.013
971111 ZOLT -6.452
971112 COMS 6.477
971112 NSOL 22.857
971113 MTZ 8.381
971113 COMS 12.989
971117 CKSG 13.775
971117 GLFD 6.329
971119 PTEN 4.87
971119 BNO -5.534
971120 CPRD 2.453
971120 EGHT 10.119
971121 BNO -2.543
971121 UTR -5.449
971124 GLBL 6.666
971124 CDG -4.33
971125 SCSWF 0.254
971125 GNT -1.215
971126 UFAB -11.378
971126 SCSWF 0.763
971128 BCGI 12.666
971128 CLST 8.212
971201 CS -34.232
971201 CDRD -5.556
971202 DSPC 3.896
971202 SFR 2.941
971205 SAMC -11.492
971205 MDYN -13.971
971209 PLXS 21.656
971209 SAMC 5.504
971210 FINE 4.697
971210 ECI 1.498
971211 FINE 25.806
971211 SCOP 6.944
971212 BRKS 24.271
971212 SAWS 24.418
971215 ZONA 8.814
971215 MICA 5.069
971216 VVUS 19.496
971216 PMRY -1.493
971217 WSTL -4.569
971217 BEAV 13.372
971218 LDRY 18.055
971218 MCRL 26.087
971219 DIGL -4.187
971219 ZOLT 0.925
971222 ISIP 8.108
971222 CHRX 0.366
971223 ZRAN -1.531
971223 MAVK 6.748
971224 ENML -7.866
971224 MAVK 20.615
971230 APSO 0.966
971230 ENML 16.867
971231 APSO -1.429
971231 CHRX -2.837
980102 GADZ 3.048
980102 ASI 9.065



Number of trading days = 62
Average 3-day return (%) = 2.84 +/- 9.79
Risk/Return Ratio for 3-day return (for two stocks) = 3.43
Probability of positive pure daily returns =  66.1  %


Return(Risk/Return) for the first stock selected (%): 2.55 ( 4.36 )
Return(Risk/Return) for the second stock selected (%): 3.13 ( 3.75 )

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