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 ?
CSI Mini Dow Error
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
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- comparison.zip
- spreadsheet
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- ym.png (23.83 KiB) Viewed 3148 times