Dow Jones Stock Market Historical Correlations

Last updated: 2017-01-20

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.

© 2017 Darrin J. Ward

Available Observation Periods:

↑ Top5 Daily Observations

[LHS] Current Period: 2017-01-12 to 2017-01-20
[RHS] Historical Period: 1946-05-02 to 1946-05-08 (extended to 1946-05-11)
ρ = 0.99673
[LHS] Current Period: 2017-01-12 to 2017-01-20
[RHS] Historical Period: 1896-11-25 to 1896-12-02 (extended to 1896-12-05)
ρ = 0.99651
[LHS] Current Period: 2017-01-12 to 2017-01-20
[RHS] Historical Period: 2001-09-10 to 2001-09-17 (extended to 2001-09-20)
ρ = 0

↑ Top10 Daily Observations

[LHS] Current Period: 2017-01-05 to 2017-01-20
[RHS] Historical Period: 1973-11-23 to 1973-12-07 (extended to 1973-12-14)
ρ = 0.97208
[LHS] Current Period: 2017-01-05 to 2017-01-20
[RHS] Historical Period: 1956-08-20 to 1956-09-04 (extended to 1956-09-11)
ρ = 0.95254
[LHS] Current Period: 2017-01-05 to 2017-01-20
[RHS] Historical Period: 1902-05-09 to 1902-05-21 (extended to 1902-05-27)
ρ = 0.92369

↑ Top15 Daily Observations

[LHS] Current Period: 2016-12-28 to 2017-01-20
[RHS] Historical Period: 1951-11-07 to 1951-11-27 (extended to 1951-12-06)
ρ = 0.92096
[LHS] Current Period: 2016-12-28 to 2017-01-20
[RHS] Historical Period: 1950-01-31 to 1950-02-18 (extended to 1950-03-01)
ρ = 0.86393
[LHS] Current Period: 2016-12-28 to 2017-01-20
[RHS] Historical Period: 1901-12-28 to 1902-01-16 (extended to 1902-01-25)
ρ = 0.85618

↑ Top20 Daily Observations

[LHS] Current Period: 2016-12-20 to 2017-01-20
[RHS] Historical Period: 1951-10-31 to 1951-11-27 (extended to 1951-12-08)
ρ = 0.83506
[LHS] Current Period: 2016-12-20 to 2017-01-20
[RHS] Historical Period: 1947-12-20 to 1948-01-16 (extended to 1948-01-28)
ρ = 0.7969
[LHS] Current Period: 2016-12-20 to 2017-01-20
[RHS] Historical Period: 1902-05-28 to 1902-06-23 (extended to 1902-07-07)
ρ = 0.7967

↑ Top30 Daily Observations

[LHS] Current Period: 2016-12-06 to 2017-01-20
[RHS] Historical Period: 1908-11-02 to 1908-12-09 (extended to 1908-12-29)
ρ = 0.86832
[LHS] Current Period: 2016-12-06 to 2017-01-20
[RHS] Historical Period: 1907-06-22 to 1907-07-29 (extended to 1907-08-15)
ρ = 0.78578
[LHS] Current Period: 2016-12-06 to 2017-01-20
[RHS] Historical Period: 1900-11-03 to 1900-12-11 (extended to 1900-12-31)
ρ = 0.78145

↑ Top45 Daily Observations

[LHS] Current Period: 2016-11-14 to 2017-01-20
[RHS] Historical Period: 1908-10-16 to 1908-12-10 (extended to 1909-01-09)
ρ = 0.97298
[LHS] Current Period: 2016-11-14 to 2017-01-20
[RHS] Historical Period: 1902-06-26 to 1902-08-21 (extended to 1902-09-19)
ρ = 0.95622
[LHS] Current Period: 2016-11-14 to 2017-01-20
[RHS] Historical Period: 1899-07-13 to 1899-09-05 (extended to 1899-10-04)
ρ = 0.95411

↑ Top60 Daily Observations

[LHS] Current Period: 2016-10-24 to 2017-01-20
[RHS] Historical Period: 1913-12-09 to 1914-02-20 (extended to 1914-03-28)
ρ = 0.9776
[LHS] Current Period: 2016-10-24 to 2017-01-20
[RHS] Historical Period: 1908-06-24 to 1908-09-03 (extended to 1908-10-10)
ρ = 0.96445
[LHS] Current Period: 2016-10-24 to 2017-01-20
[RHS] Historical Period: 1900-10-02 to 1900-12-13 (extended to 1901-01-21)
ρ = 0.9581

↑ Top90 Daily Observations

[LHS] Current Period: 2016-09-09 to 2017-01-20
[RHS] Historical Period: 1913-11-03 to 1914-02-21 (extended to 1914-04-17)
ρ = 0.97393
[LHS] Current Period: 2016-09-09 to 2017-01-20
[RHS] Historical Period: 1908-05-19 to 1908-09-03 (extended to 1908-10-28)
ρ = 0.9739
[LHS] Current Period: 2016-09-09 to 2017-01-20
[RHS] Historical Period: 1905-09-29 to 1906-01-17 (extended to 1906-03-13)
ρ = 0.96498

↑ Top120 Daily Observations

[LHS] Current Period: 2016-07-28 to 2017-01-20
[RHS] Historical Period: 1945-05-22 to 1945-10-29 (extended to 1946-01-14)
ρ = 0.96384
[LHS] Current Period: 2016-07-28 to 2017-01-20
[RHS] Historical Period: 1911-12-05 to 1912-04-30 (extended to 1912-07-11)
ρ = 0.96035
[LHS] Current Period: 2016-07-28 to 2017-01-20
[RHS] Historical Period: 1904-03-28 to 1904-08-20 (extended to 1904-11-01)
ρ = 0.9474

↑ Top240 Daily Observations

[LHS] Current Period: 2016-02-05 to 2017-01-20
[RHS] Historical Period: 1903-11-12 to 1904-08-31 (extended to 1905-01-26)
ρ = 0.93318
[LHS] Current Period: 2016-02-05 to 2017-01-20
[RHS] Historical Period: 1898-04-09 to 1899-01-30 (extended to 1899-06-26)
ρ = 0.89584
[LHS] Current Period: 2016-02-05 to 2017-01-20
[RHS] Historical Period: 1896-12-12 to 1897-09-30 (extended to 1898-02-24)
ρ = 0.73979

↑ Top500 Daily Observations

[LHS] Current Period: 2015-01-26 to 2017-01-20
[RHS] Historical Period: 1957-03-18 to 1959-03-12 (extended to 1960-03-08)
ρ = 0.83488
[LHS] Current Period: 2015-01-26 to 2017-01-20
[RHS] Historical Period: 1948-07-28 to 1950-05-01 (extended to 1951-03-24)
ρ = 0.82324
[LHS] Current Period: 2015-01-26 to 2017-01-20
[RHS] Historical Period: 1933-11-16 to 1935-07-16 (extended to 1936-05-14)
ρ = 0.80266

↑ Top1000 Daily Observations

[LHS] Current Period: 2013-01-30 to 2017-01-20
[RHS] Historical Period: 1957-10-02 to 1961-09-21 (extended to 1963-09-17)
ρ = 0.92593
[LHS] Current Period: 2013-01-30 to 2017-01-20
[RHS] Historical Period: 1924-04-09 to 1927-08-08 (extended to 1929-04-17)
ρ = 0.90605
[LHS] Current Period: 2013-01-30 to 2017-01-20
[RHS] Historical Period: 1921-05-05 to 1924-09-04 (extended to 1926-05-04)
ρ = 0.81179

↑ Top2000 Daily Observations

[LHS] Current Period: 2009-02-09 to 2017-01-20
[RHS] Historical Period: 1993-09-09 to 2001-06-25 (extended to 2005-06-14)
ρ = 0.96175
[LHS] Current Period: 2009-02-09 to 2017-01-20
[RHS] Historical Period: 1987-10-19 to 1995-09-13 (extended to 1999-08-02)
ρ = 0.95058
[LHS] Current Period: 2009-02-09 to 2017-01-20
[RHS] Historical Period: 1981-09-29 to 1989-08-25 (extended to 1993-08-10)
ρ = 0.94748