day1, OPE1, day3, CLO3, return
980702,DCLK,67.125,980706,75.3125,-12.2
980702,ELNK,90.5,980706,80.25,11.3
980706,NSCP,44.5,980707,36,19.1
980706,DCLK,76.5,980707,62,18.9
980707,DCTI,16.6875,980708,10.125,39.3
980707,RMII,20.875,980708,16.875,19.1
980708,EGGS,15.75,980709,17,-8
980708,PSIX,15.0625,980709,14.5,3.7
980709,DLJ,56.25,980710,60,-6.7
980709,GTW,59.75,980710,61.125,-2.4
980710,LBOR,40.5,980713,37.625,7
980710,DLJ,59,980713,63.0625,-6.9
980713,EGGS,25.625,980714,23.4062,8.6
980713,DLJ,61,980714,61.5625,-1
980714,EGGS,27.5,980715,20.6875,24.7
980714,ZAP,22.875,980715,21.6875,5.1
980715,TINTA,25.25,980716,25,0.9
980715,YSII,10,980716,10.3125,-3.2
980716,GUMM,12.125,980717,10,17.5
980716,MU,31.375,980717,29.75,5.1
980717,RMAG,12.625,980720,12.375,1.9
980717,ESPRY,35,980720,42.375,-21.1
980720,RMAG,12.75,980721,12.5625,1.4
980720,BIOX,52,980721,48.875,6
980721,TRBDF,13.5625,980722,12.5,7.8
980721,VYTL,21.375,980722,18.25,14.6
980722,PAWN,17.625,980723,15.5,12
980722,SFNB,27,980723,24,11.1
980723,AMTD,47,980724,44.5,5.3
980723,MSPG,143.625,980724,148.5,-3.4
980724,PSIX,21.125,980727,19.0625,9.7
980724,IMNT,22.5,980727,23.25,-3.4
980727,PSIX,20.3125,980728,19.375,4.6
980727,TRBDF,14.875,980728,15.3125,-3
980728,MSPG,50.875,980729,40.3125,20.7
980728,LVLT,84.5,980729,82.75,2
980729,PSIX,19.9375,980730,18.3125,8.1
980729,MODA,22.75,980730,21.0625,7.4
980730,SMOD,17.9375,980731,19.125,-6.7
980730,WCAP,10.375,980731,6.3125,39.1
980731,PRBZ,63.625,980803,55.375,12.9
980731,ITCD,50.375,980803,48.5,3.7
980803,EGR,35,980804,31.375,10.3
980803,SMOD,19.4375,980804,17.75,8.6
980804,TXCC,19.375,980805,18.5625,4.1
980804,MU,34.375,980805,34.4375,-0.2
980805,SRA,33.5,980806,34.5625,-3.2
980806,UTR,14.25,980807,16,-12.3
980806,VDIM,11.875,980807,11.5,3.1
980807,CTYA,21.75,980810,21.625,0.5
980807,NVLS,41.3125,980810,40.3125,2.4
980810,NVLS,43.5,980811,39,10.3
980810,MWHS,25.5625,980811,24.4375,4.4
980811,MDYN,19.75,980812,20,-1.3
980811,SEGU,18.5625,980812,18,3
980812,AAPL,39.75,980813,39.4375,0.7
980812,CTYA,24.9375,980813,25.75,-3.3
980813,CTYA,25.75,980814,25.25,1.9
980813,QKTN,10.875,980814,10.5,3.4
980814,XIRC,24.875,980817,23.5625,5.2
980814,ANF,53,980817,53.4375,-0.9
980817,AN,51,980818,51.8125,-1.6
980817,SBL,48.625,980818,51.4375,-5.8
980818,SBL,49.875,980819,49,1.7
980818,NSIT,55.5,980819,53.625,3.3
980819,N/A,0,---,0,0
980820,XIRC,26,980821,26.5625,-2.2
980821,XIRC,26.5,980824,24.875,6.1
980824,CPLY,10.625,980825,8.6875,18.2
980824,MUEI,16.25,980825,16.4375,-1.2
980825,MUEI,16.6875,980826,16.25,2.6
980825,ADTN,28.625,980826,26.5,7.4
980826,RHD,13.75,980827,13.25,3.6
980826,SAI,74.25,980827,68.5625,7.6
980827,TAN,62,980828,57.8125,6.7
980827,DELL,126.625,980828,118.75,6.2
980828,RHD,13.625,980831,13.1875,3.2
980828,BEI,32.75,980831,32.5,0.7
980831,BEI,32.625,980901,33.3125,-2.2
980831,CIN,34.875,980901,34.4375,1.2
980901,CIN,35,980902,33.8125,3.3
980901,BEI,32.6875,980902,33.5625,-2.7
980902,BEI,33.5,980903,33.75,-0.8
980902,UFS,38.6875,980903,38,1.7
980903,N/A,0,---,0,0
980904,USCS,30,980908,30.875,-3
980908,N/A,0,---,0,0
980909,TSFW,35.125,980910,31.375,10.6
980910,N/A,0,---,0,0
980911,N/A,0,---,0,0
980914,N/A,0,---,0,0
980915,ELT,12,980916,12.5625,-4.7
980916,N/A,0,---,0,0
980917,N/A,0,---,0,0
980918,N/A,0,---,0,0
980921,N/A,0,---,0,0
980922,N/A,0,---,0,0
980923,N/A,0,---,0,0
980924,N/A,0,---,0,0
980925,N/A,0,---,0,0
980928,N/A,0,---,0,0
980929,N/A,0,---,0,0
980930,N/A,0,---,0,0
981001,PHI,20.125,981002,19.6875,2.1
981001,SGY,31,981002,30.0625,3
average return per trade =   2.47195      %              risk/return =               2.546327 
quarterly return (0.5%  transaction cost) =              66.79819     %