Dow Jones Stock Market Historical Correlations

IMPORTANT: Correlations are currently not updating due to an error in the data feed.

Last updated: 2018-03-15

This page is updated every trading day at about 4:30pm EST with historical correlation charts for daily closing prices of the Dow Jones Industrial Average ("DJIA").

When the closing price for the DJIA becomes available, the program will iterate over 32,000+ historical DJIA closing prices (dating back to 1896) to find the historical periods with the highest statistical correlation to recent closing prices for a number of observation lengths.

The three (3) most highly-correlated historical periods for each observation length will be charted (in red, using the right y axis) along with the most recent market activity (in blue, using the left y axis). In addition, the historical periods will be extended by 50%.

I want to stress that historical market correlations do not predict the path of future market moves. My background is primarily in technology, marketing and research, but I do track the "markets" for entertainment value. I developed this tool because I could not find a solution to automating the charting (though I am sure they exist).

Tom McClellan pointed out that Pearson's correlation coefficient is ill-suited for longer time-series data. Yet, I still look at these every now and then.

N.B. Given the large number of charts and data points, it may take a while for this page to load on mobile browsers or slow computers.

© 2018 Darrin J. Ward

Available Observation Periods:

↑ Top5 Daily Observations

[LHS] Current Period: 2017-11-27 to 2018-03-15
[RHS] Historical Period: 1938-02-07 to 1938-02-14 (extended to 1938-02-17)
ρ = 0.99935
[LHS] Current Period: 2017-11-27 to 2018-03-15
[RHS] Historical Period: 1922-12-07 to 1922-12-13 (extended to 1922-12-16)
ρ = 0.99919
[LHS] Current Period: 2017-11-27 to 2018-03-15
[RHS] Historical Period: 1918-01-30 to 1918-02-06 (extended to 1918-02-09)
ρ = 0.99828

↑ Top10 Daily Observations

[LHS] Current Period: 2017-11-17 to 2018-03-15
[RHS] Historical Period: 1905-11-20 to 1905-12-02 (extended to 1905-12-08)
ρ = 0.98918
[LHS] Current Period: 2017-11-17 to 2018-03-15
[RHS] Historical Period: 1899-02-10 to 1899-02-25 (extended to 1899-03-03)
ρ = 0.97454
[LHS] Current Period: 2017-11-17 to 2018-03-15
[RHS] Historical Period: 1898-04-25 to 1898-05-07 (extended to 1898-05-13)
ρ = 0.97001

↑ Top15 Daily Observations

[LHS] Current Period: 2017-11-10 to 2018-03-15
[RHS] Historical Period: 1967-03-01 to 1967-03-22 (extended to 1967-04-04)
ρ = 0.97544
[LHS] Current Period: 2017-11-10 to 2018-03-15
[RHS] Historical Period: 1939-08-22 to 1939-09-09 (extended to 1939-09-19)
ρ = 0.975
[LHS] Current Period: 2017-11-10 to 2018-03-15
[RHS] Historical Period: 1898-04-19 to 1898-05-07 (extended to 1898-05-17)
ρ = 0.97145

↑ Top20 Daily Observations

[LHS] Current Period: 2017-11-02 to 2018-03-15
[RHS] Historical Period: 1939-08-16 to 1939-09-09 (extended to 1939-09-21)
ρ = 0.96228
[LHS] Current Period: 2017-11-02 to 2018-03-15
[RHS] Historical Period: 1898-04-13 to 1898-05-07 (extended to 1898-05-19)
ρ = 0.95499
[LHS] Current Period: 2017-11-02 to 2018-03-15
[RHS] Historical Period: 1897-08-12 to 1897-09-04 (extended to 1897-09-17)
ρ = 0.94698

↑ Top30 Daily Observations

[LHS] Current Period: 2017-10-19 to 2018-03-15
[RHS] Historical Period: 1948-04-14 to 1948-05-19 (extended to 1948-06-09)
ρ = 0.92887
[LHS] Current Period: 2017-10-19 to 2018-03-15
[RHS] Historical Period: 1940-06-28 to 1940-08-03 (extended to 1940-08-21)
ρ = 0.92828
[LHS] Current Period: 2017-10-19 to 2018-03-15
[RHS] Historical Period: 1928-09-10 to 1928-10-16 (extended to 1928-11-02)
ρ = 0.91634

↑ Top45 Daily Observations

[LHS] Current Period: 2017-09-28 to 2018-03-15
[RHS] Historical Period: 1948-03-27 to 1948-05-19 (extended to 1948-06-21)
ρ = 0.95339
[LHS] Current Period: 2017-09-28 to 2018-03-15
[RHS] Historical Period: 1943-02-05 to 1943-04-01 (extended to 1943-04-29)
ρ = 0.94021
[LHS] Current Period: 2017-09-28 to 2018-03-15
[RHS] Historical Period: 1904-05-20 to 1904-07-16 (extended to 1904-08-12)
ρ = 0.93092

↑ Top60 Daily Observations

[LHS] Current Period: 2017-09-07 to 2018-03-15
[RHS] Historical Period: 1943-01-20 to 1943-04-02 (extended to 1943-05-08)
ρ = 0.95648
[LHS] Current Period: 2017-09-07 to 2018-03-15
[RHS] Historical Period: 1935-07-03 to 1935-09-13 (extended to 1935-10-19)
ρ = 0.95497
[LHS] Current Period: 2017-09-07 to 2018-03-15
[RHS] Historical Period: 1904-08-08 to 1904-10-19 (extended to 1904-11-25)
ρ = 0.95301

↑ Top90 Daily Observations

[LHS] Current Period: 2017-07-24 to 2018-03-15
[RHS] Historical Period: 1904-12-17 to 1905-04-07 (extended to 1905-06-02)
ρ = 0.96299
[LHS] Current Period: 2017-07-24 to 2018-03-15
[RHS] Historical Period: 1897-04-22 to 1897-08-09 (extended to 1897-10-01)
ρ = 0.95801
[LHS] Current Period: 2017-07-24 to 2018-03-15
[RHS] Historical Period: 1896-07-24 to 1896-11-09 (extended to 1897-01-05)
ρ = 0.92788

↑ Top120 Daily Observations

[LHS] Current Period: 2017-06-09 to 2018-03-15
[RHS] Historical Period: 1897-04-14 to 1897-09-07 (extended to 1897-11-17)
ρ = 0.96115
[LHS] Current Period: 2017-06-09 to 2018-03-15
[RHS] Historical Period: 1896-07-22 to 1896-12-12 (extended to 1897-02-26)
ρ = 0.89493

↑ Top240 Daily Observations

[LHS] Current Period: 2016-12-14 to 2018-03-15
[RHS] Historical Period: 1995-05-02 to 1996-04-05 (extended to 1996-09-20)
ρ = 0.96867
[LHS] Current Period: 2016-12-14 to 2018-03-15
[RHS] Historical Period: 1942-05-19 to 1943-03-08 (extended to 1943-07-29)
ρ = 0.96793
[LHS] Current Period: 2016-12-14 to 2018-03-15
[RHS] Historical Period: 1915-02-13 to 1915-11-30 (extended to 1916-04-24)
ρ = 0.9652

↑ Top500 Daily Observations

[LHS] Current Period: 2015-12-02 to 2018-03-15
[RHS] Historical Period: 1934-07-09 to 1936-03-07 (extended to 1937-01-06)
ρ = 0.97461
[LHS] Current Period: 2015-12-02 to 2018-03-15
[RHS] Historical Period: 1926-09-10 to 1928-05-14 (extended to 1929-03-19)
ρ = 0.9693
[LHS] Current Period: 2015-12-02 to 2018-03-15
[RHS] Historical Period: 1924-02-21 to 1925-10-17 (extended to 1926-08-19)
ρ = 0.96923

↑ Top1000 Daily Observations

[LHS] Current Period: 2013-12-06 to 2018-03-15
[RHS] Historical Period: 1951-09-21 to 1955-08-01 (extended to 1957-07-26)
ρ = 0.96149
[LHS] Current Period: 2013-12-06 to 2018-03-15
[RHS] Historical Period: 1947-07-30 to 1951-02-14 (extended to 1952-12-05)
ρ = 0.93761
[LHS] Current Period: 2013-12-06 to 2018-03-15
[RHS] Historical Period: 1926-05-12 to 1929-09-19 (extended to 1931-06-01)
ρ = 0.93394

↑ Top2000 Daily Observations

[LHS] Current Period: 2009-12-16 to 2018-03-15
[RHS] Historical Period: 1988-03-17 to 1996-02-07 (extended to 1999-12-24)
ρ = 0.96904
[LHS] Current Period: 2009-12-16 to 2018-03-15
[RHS] Historical Period: 1947-09-26 to 1955-01-31 (extended to 1959-01-21)
ρ = 0.96857
[LHS] Current Period: 2009-12-16 to 2018-03-15
[RHS] Historical Period: 1922-02-17 to 1928-10-18 (extended to 1932-03-04)
ρ = 0.95338