CSI -UA and market correlation
Posted: Wed May 23, 2007 2:25 am
On csi data you have the maulti-market analyser which enables you to do correlation studies on markets.
My question / thoughts are that you get the choice of whether to set the data up as daily or weekly / perpetual or back adjusted. I am a bit confused on this so I read the CSI help notes on the issue but it doesnt make it too much clearer - My instinct is to analyse correlation based on daily back adjusted data as this is what I trade.
Does anyone have any thoughts on the best way to test market correlations over 20 years ? CSI recommends weekly perpetual which is in fact the exact opposite to what I do.
Any thoughts are, as ever, warmly appreciated.
Chris
My question / thoughts are that you get the choice of whether to set the data up as daily or weekly / perpetual or back adjusted. I am a bit confused on this so I read the CSI help notes on the issue but it doesnt make it too much clearer - My instinct is to analyse correlation based on daily back adjusted data as this is what I trade.
Does anyone have any thoughts on the best way to test market correlations over 20 years ? CSI recommends weekly perpetual which is in fact the exact opposite to what I do.
Any thoughts are, as ever, warmly appreciated.
Chris