Software to Check Correlation between 100 ETF'S

robbo · Aug 19, 2015

I want to check the correlation between 100 ETF'S so I can use the results to find some good ETF's to pairtrade with. Can anyone recommend any software to check out.

2rosy · Aug 19, 2015

Python with quandl and pandas libs. Or PM me for an enterprise solution

MrBrowser · Aug 19, 2015

2rosy said:
Python with quandl and pandas libs

Or R + quantmod... There are old threads with both Python and R scripts -- have a search.

stevegee58 · Aug 19, 2015

Correlation isn't going to reliably work for pairs trading. You should be looking at cointegration instead.

PetaDollar · Aug 19, 2015

It sounds like OP is asking about a package that does the analysis for him.

Here is a handy, beautiful, free online tool.

aqtrader · Aug 19, 2015

PetaDollar said:
It sounds like OP is asking about a package that does the analysis for him.

Here is a handy, beautiful, free online tool.

nice chart there.
just found that any correlation analysis has an issue we need be cautious to use: https://en.m.wikipedia.org/wiki/Correlation_does_not_imply_causation

Sergio77 · Aug 21, 2015

Correlation is useless.

MrBrowser · Aug 21, 2015

stevegee58 said:
Correlation isn't going to reliably work

Sergio77 said:
Correlation is useless

If you re-read OP carefully, you'll note he was asking for advice on software, not on the merits of statistical techniques.

Sergio77 · Aug 21, 2015

So we save him some trouble looking for the software.

aqtrader · Aug 21, 2015

Sergio77 said:
Correlation is useless.

Correlation is extremely important in risk control no matter others agree or not. it is a part of regression analysis.