Hitman's Correlation Program

D

Dustin

Hitman just sent me his program to calculate correlations. It works great! Go to the link below and type in any two stocks/indexes. Be patient because it takes about 5-10 seconds for the data to update.

http://www.iwinfree.com/correlation.xls

NOTE: When you close the page it will ask you to save changes. PRESS NO.
 
Quick notes:

I only have Excel 2000 and I am not sure whether it will work on any other versions, I don't think there should be any problems, but I can not test it for sure. Please do not e-mail me about technical issues, I don't care :-)

There are some quirks with the way correlation works with certain stocks/indexes, like SLB which is like the biggest component in OSX and it only got a score of 0.50. CPN/AES with a score of under 0.30 with UTY.

Bottomline, use this tool in combination with Market Topology for maximum accuracy.

Last but not least, you can test how well stocks follow other stocks, you don't have to enter an index symbol, it can just be another stock.

All symbols are directly out of Yahoo Finance, if Yahoo Finance doesn't have it then no game . . .
 
Hitman and Dustin, I compared LTR and MO and was
surprised at the -0.30 score, so I checked the
raw data. It looks like dividends are appearing
in the table in place of the OHLC data. Not sure
if this explains the correlation result. The
market-topology site said these stocks were
highly correlated.

-v
 
I'm not sure exactly how Hitman programmed this. Hopefully he can take a look at it.

Also I was wondering if anyone here knows how to integrate this excel sheet into a webpage so there are just two fields (an html page instead of xls). I'm no good with this stuff.
 
The raw data is ok, the CORREL function doesn't take blank cells. The cash dividend's closing column is a blank, supposedly it won't matter . . . I just tried LTR/MO with the correl function manually, with and without the blanks, same result.

Last time I checked LTR is an insurance company and MO is tobacco. Yes, there are some oddities as I went through my entire list today, like BSC/LEH getting very low score for XBD index.

The CORREL function is NOT perfect, if you are adding a brand new stock to your list I suggest you check out the industry groups, the CORREL function used in my macro and the market-topology.com site is purely based on mathematical formulas, you can get very weird results some times.

I have no idea how to do Excel programming, I just went on the web and found out how to do web queries. Took me a hour to figure it out. I have no plan to learn HTML and all that stuff to make this more complicated than it needs to be. It is a quick and dirty tool to find correlations, nothing more.

I wrote the poem, it is my signature for most of my works. It is very important to me on a personal level. Most people don't understand what it really means, but it is ok.
 
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