CSI Mini Dow Error

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Chris67
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CSI Mini Dow Error

Post by Chris67 » Fri Jun 25, 2010 5:23 am

I noticed if you bring up a chart of the Mini Dow on CSI and zoom out as far as is possible that the data pre 1999 bears no resemblence to the price of the dow (accounting for backadjusted rolls etc) - so in fact if you run a correlation of YM vrs DJ or DJ20 for the period mid 1997 to 2000 the markets of the mini dow and the big dow are negatively correlated at
-0.45 !!!!
Very strange indeed ?

7432
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Post by 7432 » Fri Jun 25, 2010 8:47 am

I remember something about a contract change for the mini dow, but not specifics.
I adjusted the 'date range' in csi to start spring of 2002 so as to get rid of the problem.

sluggo
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Post by sluggo » Fri Jun 25, 2010 10:44 am

The DJIA is available in CSI as data series #2335. Mini Dow futures are available as #699. Unadjusted closes are in the attached spreadsheet. If you wanted to, you could plot (A/B) or (A-B) or ((A-B)/A) or something.
Attachments
comparison.zip
spreadsheet
(108.16 KiB) Downloaded 206 times
ym.png
ym.png (23.83 KiB) Viewed 2031 times

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