Since there was some new interest in shorter correlation time periods, I finally got around to adding 10 day correlation data for all the stocks. A friendly reader - Jon - had asked about looking at multiple periods:

Time frames of, say, 365 days, and 250 days, are useful but more importantly perhaps, the shorter time periods of 100 days, 30 days, and 7 days really need to be looked at.

So, what I did was set everything up to display 200 days, 100 days, 30 days and 10 days of stock correlations. For each stock, the top 5 positive correlations for each time period and the top 5 negative correlations for each time period. I decided to go with a 10 day period instead of the 7 day period because we are working with trading days, not calendar days - 5 trading days in a week. Not really important, because obviously the 10 days cuts across calendar weeks - it just seemed nicer to be looking at two trading weeks at a time.

I had also mentioned that DeepMarket doesn’t have index data and Jon asked:

Not having index data is a problem, as sometimes it would be useful to look at these correlations in the context of the market. Is it not possible to use another source? What about Yahoo! they have a lot of available historic and recent data.

Well, this is a question of MAY I vs. CAN I. There is no question that I CAN, but I MAY NOT display that data here on DeepMarket. I don’t have the rights to display that data - sorry! To show that data is really expensive and I only display the data that is in my feed. The exchanges (who own most of the indexes) are really weird about it and I was looking for data with my “path of least resistance” algorithm - so, what you see is what you get. Don’t even ask about mutual fund data…

However - you can look for proxies. A fantastic proxy - and probably the most famous is the triple Q or QQQ or QQQQ - which is the NASDAQ 100 Tracking Stock - check the link for a better understanding. Bottom line - its moves are correlated with the NASDAQ 100 Index - and an excellent proxy for the index. Of course, in this case the movements are not only correlated, but causal in relationship to each other. So, use our little search tool in the upper right corner and see if you can find a proxy for the index you are looking for.

Okay - that is a ton of data out there for all the stocks. I am not sure if it is helpful - data is always the first step. Now that we have all this data, I hope people are able to come up with some interesting strategies. Jon gave us some clues and hopefully others are willing to share their ideas and insights - I welcome comments!