day1, OPE1, day3, CLO3, return
970702,DATM,34.75,970703,34.125,1.7
970702,VTO,11.5,970703,12,-4.4
970703,TSIX,20.5,970707,19.375,5.4
970703,SEBL,34.75,970707,36.125,-4
970707,XEIKY,12.875,970708,12.5,2.9
970707,FPAM,26.5,970708,26,1.8
970708,MIND,14.9375,970709,13.625,8.7
970708,TRF,53.75,970709,57.5,-7
970709,TRF,55.875,970710,60.6875,-8.7
970709,CTXS,52,970710,54.5,-4.9
970710,RNE,36.75,970711,34.75,5.4
970710,QGENF,58.5,970711,58.75,-0.5
970711,ASMLF,75.5,970714,78.5,-4
970711,CKSG,43.5,970714,41.375,4.8
970714,AEIS,19.25,970715,20.5,-6.5
970714,DATM,41,970715,40.125,2.1
970715,LRCX,51.5,970716,57.3125,-11.3
970715,ASMLF,81.375,970716,85,-4.5
970716,ASMLF,87.375,970717,79.4375,9
970716,ELEX,24.375,970717,22.875,6.1
970717,MTRS,44,970718,47.5,-8
970717,AVIR,25.625,970718,23.25,9.2
970718,MCSY,28.8125,970721,27.625,4.1
970718,MTRS,46.375,970721,46.125,0.5
970721,AEIS,21.75,970722,21.75,0
970721,TLCM,12.5,970722,11.375,9
970722,ADIN,11.5,970723,10.875,5.4
970722,HYSW,28.5,970723,26.75,6.1
970723,REAL,27.125,970724,25.75,5
970723,DELL,163.75,970724,170,-3.9
970724,NTAIF,28.25,970725,29.5,-4.5
970724,NSS,18.75,970725,20.5,-9.4
970725,NTAIF,32.25,970728,29.875,7.3
970725,TKLC,57.125,970728,54.3125,4.9
970728,OCOM,27.75,970729,26.625,4
970728,ALNK,19.625,970729,18.5,5.7
970729,OCOM,28.75,970730,25.125,12.6
970729,VOCLF,11.5,970730,13.625,-18.5
970730,VOCLF,14,970731,11.75,16
970731,PESC,25.125,970801,26,-3.5
970731,VOCLF,13.5625,970801,11.25,17
970801,VTSS,48.75,970804,50,-2.6
970801,ALSC,14.625,970804,15,-2.6
970804,SLOT,71.25,970805,70,1.7
970804,PESC,26.25,970805,28.5,-8.6
970805,ORFR,17.5,970806,19.25,-10.1
970805,VTSS,50.875,970806,49.4375,2.8
970806,MTLM,23.0625,970807,21.25,7.8
970806,CCSI,14.3125,970807,12.9375,9.6
970807,AAPL,28.5,970808,26.8125,5.9
970807,ORFR,20,970808,18.125,9.3
970808,OS,28,970811,27,3.5
970808,OLCMF,25.75,970811,25,2.9
970811,STRX,20.25,970812,17.875,11.7
970811,RMBS,74,970812,65,12.1
970812,JRJR,34.5,970813,31.875,7.6
970812,GECM,11.4375,970813,11.125,2.7
970813,MFAC,22.75,970814,24.5,-7.7
970813,BYH,18.5625,970814,19.625,-5.8
970814,MFAC,24.25,970815,24,1
970814,IRIDF,33.375,970815,33.75,-1.2
970815,IRIDF,35.25,970818,35.375,-0.4
970815,MFAC,24.75,970818,21.5,13.1
970818,BUNZ,19.375,970819,18.625,3.8
970818,OZEMY,13.25,970819,13.875,-4.8
970819,UVSGA,27.25,970820,28.25,-3.7
970819,IRIDF,36.375,970820,38.875,-6.9
970820,AGRPA,63.875,970821,64.25,-0.6
970820,BMRQ,32,970821,33.25,-4
970821,PLAT,21,970822,23,-9.6
970821,AMTX,16.75,970822,15.875,5.2
970822,TERA,12.125,970825,12.125,0
970822,BYH,23.25,970825,25,-7.6
970825,LCOS,29,970826,29.75,-2.6
970825,TERA,13.1875,970826,13.375,-1.5
970826,ORFR,30.25,970827,27.5,9
970826,GAEO,15.625,970827,12.125,22.4
970827,MAVK,34.875,970828,34,2.5
970827,CDCO,21.125,970828,22.0625,-4.5
970828,NANO,13.375,970829,13.375,0
970828,BTIC,17.25,970829,17.625,-2.2
970829,VOCLF,21.375,970902,22.75,-6.5
970829,TERA,16.75,970902,17.75,-6
970902,TERA,17.25,970903,15.75,8.6
970902,NANO,13.75,970903,12.25,10.9
970903,TKLC,39.1562,970904,35.25,9.9
970903,RADAF,11.125,970904,11.75,-5.7
970904,GSCN,26.125,970905,25.125,3.8
970904,DXYN,15.25,970905,15.875,-4.1
970905,RADAF,12,970908,11,8.3
970905,ZOLT,55.75,970908,56.6875,-1.7
970908,NSTA,24.5,970909,22.5,8.1
970908,ENPT,18.625,970909,18.875,-1.4
970909,ENPT,19.125,970910,18.875,1.3
970909,YHOO,48.125,970910,53.3125,-10.8
970910,WAND,13.5,970911,13.25,1.8
970910,YHOO,51.6875,970911,55.5,-7.4
970911,PXXI,13.125,970912,13.375,-2
970911,WAND,13,970912,13,0
970912,IMNX,59.375,970915,57.6875,2.8
970912,FGII,51.5,970915,54,-4.9
970915,ONSL,22.125,970916,22.25,-0.6
970915,LVEL,23.75,970916,23.25,2.1
970916,ENPT,24,970917,20.75,13.5
970916,MSPG,20.25,970917,21.5,-6.2
970917,MSPG,21.5,970918,23.3125,-8.5
970917,GETTY,16.25,970918,18.6875,-15.1
970918,INTL,51.25,970919,47.125,8
970918,MSPG,22.375,970919,22.75,-1.7
970919,MSPG,24.25,970922,21,13.4
970919,CLTR,14.125,970922,13.375,5.3
970922,BTIM,46.5,970923,42.5,8.6
970922,ONSL,29.875,970923,27,9.6
970923,WAVO,12.125,970924,11,9.2
970923,BRKT,14.9375,970924,17.375,-16.4
970924,AFFX,49.375,970925,46.125,6.5
970924,BRKT,15.1875,970925,16.125,-6.2
970925,GNTL,14.875,970926,14.375,3.3
970925,OSII,14.5,970926,13.9375,3.8
970926,VMTI,15.125,970929,15,0.8
970926,SQNA,14.5,970929,15.125,-4.4
970929,WAND,27.375,970930,28.375,-3.7
970929,TCPI,16.375,970930,16,2.2
970930,WAND,28.625,971001,22,23.1
970930,EVTI,17.25,971001,15.5,10.1
971001,WAND,29.75,971002,20.625,30.6
971001,COSE,14.5,971002,15.625,-7.8
average return per trade =   1.102305     %              risk/return =               5.323169 
quarterly return (0.5%  transaction cost) =              24.93855     %