Quarterly data file

2001 - 2

(CLO1 - OPE4) strategies with selection of two stocks with maximum price drop during the day #1
STOCK1 is the stock with maximum CLO1 - CLO0 price drop
RETURN is the stock price change (OPE4 - CLO1) in %
Look at statistics at the end of file

*     ---   the Basic Trading Strategy
**   ---    the Basic Trading Strategy and the Low Risk Strategy-1
*** ---   the Basic Trading Strategy and the Low Risk Strategies-1 and -2

Day #1 Ticker Strategy Closing Price Day #4 Opening Price Return %
010402 AMCC *** 14.10938 010405 12.4375 -11.85
010402 SWIR *** 14.75 010405 13.5 -8.48
010403 NETE *** 17.26563 010406 20.65625 19.63
010403 SFNT *** 8.53125 010406 10.25 20.14
010404 EMLX *** 12.5 010409 18.35 46.8
010404 VTSS *** 15.9375 010409 18.05 13.25
010405 PTEC * 8.6875 010410 8.91 2.56
010405 ABMD * 11.5 010410 13.13 14.17
010406 VGIN * 13.5 010411 13.49 -0.08
010406 CCE * 16.2 010411 16.3 0.61
010409 TLAB * 32.16 010412 32.7 1.67
010409 FWC * 11.78 010412 12.75 8.23
010410 IBP * 15.03 010416 14.75 -1.87
010410 TLAB * 32.84 010416 34.02 3.59
010411 WIT ** 21.4 010417 23.5 9.81
010411 MDCC ** 19.21 010417 19.73 2.7
010412 USG * 11.38 010418 12 5.44
010412 MDCC * 18.76 010418 20.62 9.91
010416 EDSN * 17.05 010419 16.8 -1.47
010416 SRM * 12.51 010419 13.19 5.43
010417 EDSN * 16.34 010420 17.025 4.19
010417 UTHR * 11.03 010420 11.58 4.98
010418 SLVN * 17.14 010423 16.47 -3.91
010418 AET * 25.18 010423 25.55 1.46
010419 DCEL * 13.05 010424 13.15 0.76
010419 INSUA * 26.56 010424 30.15 13.51
010420 SXT ** 17.73 010425 17.82 0.5
010420 EIX ** 10.32 010425 10.2 -1.17
010423 U ** 27.89 010426 27.7 -0.69
010423 MDCC ** 18.9 010426 17.95 -5.03
010424 FNF * 20.1 010427 23.2 15.42
010424 ALO * 21.75 010427 21.39 -1.66
010425 GPU * 28.4 010430 32.42 14.15
010425 ECL * 37.14 010430 38.22 2.9
010426 CK * 10.05 010501 10.2 1.49
010426 NOVN * 16.95 010501 22.39 32.09
010427 IMPH ** 35 010502 34.54 -1.32
010427 MON ** 30.3 010502 32 5.61
010430 SBUX *** 19.35 010503 19.56 1.08
010430 IMPH *** 31.28 010503 35.15 12.37
010501 RMBS * 15.7 010504 17.45 11.14
010501 DG * 15.76 010504 15.5 -1.65
010502 DQE * 21.8 010507 21.45 -1.61
010502 VOD * 28.04 010507 28.65 2.17
010503 NCOG * 25.07 010508 23.39 -6.71
010503 PAYX * 31.44 010508 33.71 7.22
010504 FPL * 55.45 010509 56.74 2.32
010504 L * 35.75 010509 36.07 0.89
010507 NCOG * 23.25 010510 25.6 10.1
010507 ULTE * 21.38 010510 21.3 -0.38
010508 ULTE * 20.66 010511 22 6.48
010508 SLM * 66.75 010511 65.65 -1.65
010509 TRK * 21.96 010514 22 0.18
010509 ENR * 21.64 010514 21.51 -0.61
010510 RMBS * 11.76 010515 11.43 -2.81
010510 SLM * 65.25 010515 66.2 1.45
010511 QLTI ** 20.25 010516 20.5 1.23
010511 PSUN ** 19.98 010516 22.94 14.81
010514 GSPN * 15.99 010517 16.455 2.9
010514 LDG * 26.25 010517 26.29 0.15
010515 GSPN * 15.31 010518 15.96 4.24
010515 MUSE * 35.65 010518 42.23 18.45
010516 WR * 21.25 010521 21.66 1.92
010516 CHKP * 54.19 010521 56.64 4.52
010517 AH ** 12 010522 11.51 -4.09
010517 ENE ** 52.2 010522 55.6 6.51
010518 IMGN * 13.76 010523 16.08 16.86
010518 LDG * 24.62 010523 24.3 -1.3
010521 DORL ** 26.06 010524 27.69 6.25
010521 MDC ** 33.89 010524 32.6 -3.81
010522 MXICY * 10 010525 10.55 5.5
010522 F * 25.98 010525 25.12 -3.32
010523 GADZ ** 14.04 010529 13.46 -4.14
010523 VRTY ** 16.09 010529 16.65 3.48
010524 EXFO * 28.9 010530 28 -3.12
010524 LEN * 37.58 010530 35.88 -4.53
010525 F * 24.74 010531 24.82 0.32
010525 TOL * 30.97 010531 32.66 5.45
010529 CANI ** 11.65 010601 10.18 -12.62
010529 EMC ** 33.99 010601 32 -5.86
010530 JNPR ** 40.21 010604 44.35 10.29
010530 EMC ** 30.95 010604 31.55 1.93
010531 POWI * 12.1 010605 13.125 8.47
010531 FNSR * 15.05 010605 16.07 6.77
010601 EAT * 24.3 010606 22.4 -7.82
010601 KEYN * 10.07 010606 10.1 0.29
010604 VOD * 24.35 010607 24.63 1.14
010604 DYN * 46.71 010607 47.25 1.15
010605 EAT ** 22.5 010608 23.9 6.22
010605 CPN ** 43.3 010608 45.74 5.63
010606 RARE * 20.95 010611 21.13 0.85
010606 CEC * 41 010611 42.75 4.26
010607 ELY * 18.46 010612 15.85 -14.14
010607 HSII * 28.75 010612 27.8 -3.31
010608 ELY * 15.03 010613 15.95 6.12
010608 HTLD * 20.31 010613 20 -1.53
010611 JNPR * 35.33 010614 32.6 -7.73
010611 NXTP * 13.37 010614 13.6 1.72
010612 PRCS ** 16.55 010615 13.09 -20.91
010612 OO ** 20.3 010615 19.95 -1.73
010613 PRCS * 15.42 010618 15.06 -2.34
010613 EMS * 25.05 010618 22.45 -10.38
010614 PRCS *** 12.76 010619 15.21 19.2
010614 SONS *** 19.18 010619 22 14.7
010615 DIGL * 30.91 010620 26.4 -14.6
010615 WTU * 13.48 010620 15.2 12.75
010618 NLI *** 12.25 010621 11.7 -4.49
010618 DIGL *** 26.87 010621 29.14 8.44
010619 SHFL *** 17.5 010622 20.6 17.71
010619 ALGX *** 11.1 010622 12.65 13.96
010620 FCEL *** 26.97 010625 26.38 -2.19
010620 CGO *** 14.46 010625 15.05 4.08
010621 NTAP ** 11.08 010626 11.27 1.71
010621 DIGX ** 10.69 010626 10.5 -1.78
010622 KCP * 19.14 010627 19.23 0.47
010622 LAB * 28.95 010627 29.57 2.14
010625 WAT * 27.7 010628 27 -2.53
010625 TWP * 16.9 010628 17.06 0.94
010626 WIND * 16.97 010629 17.16 1.11
010626 ADTN * 18.61 010629 19.06 2.41
010627 MENT ** 16.99 010702 17.72 4.29
010627 ASYT ** 12.95 010702 14.93 15.28
010628 PTEN ** 19.16 010703 17.72 -7.52
010628 NE ** 31.71 010703 31.65 -0.19
010629 FCX * 11.05 010705 10.35 -6.34
010629 PTEN * 18.8 010705 18.56 -1.28

Basic Strategy:
Average Return per trade: 2.99 %
Risk/Return ratio for one trade = 2.92
Probability of positive pure daily returns = 69.84 %

Low Risk Strategy-1:
Average Return per trade: 4.12 %
Risk/Return ratio for one trade = 2.67
Probability of positive pure daily returns = 65.21 %

Low Risk Strategy-2:
Average Return per trade: 10.27 %
Risk/Return ratio for one trade = 1.34
Probability of positive pure daily returns = 87.5 %