Find highly correlated stocks.
This tool is designed to help investors with tax loss harvesting.
Many investors simply sell positions that lost money in order to offset capital gains tax, but this can reduce diversification. A better approach is to find strongly correlated securities to replace those that were sold.
Corporate actions such as dividends and stock splits are taken into account.
- Python 2.7+
- numpy
- ystockquote
$ python market_correlator.py symbols.txt SPY 2014-01-01 2014-12-18 10
Ticker R-value
IVV 0.999986
VOO 0.999948
VV 0.999749
SCHX 0.999664
MGC 0.999655
SSO 0.999172
ITOT 0.999163
IWB 0.999161
VONE 0.999129
IWL 0.998720
$ python market_correlator.py symbols.txt DOW 2014-01-01 2014-12-18 10 --skip_dataload
Ticker R-value
IYM 0.942110
UYM 0.936716
PYZ 0.934378
MATL 0.928056
VAW 0.926041
FMAT 0.924869
HHC 0.921352
PBP 0.911964
XLB 0.911857
MLM 0.903803
$ python market_correlator.py symbols.txt GLD 2014-01-01 2014-12-18 10 --skip_dataload
Ticker R-value
SGOL 0.999953
IAU 0.999869
DGL 0.999010
DGP 0.998088
UGL 0.998006
PHYS 0.997431
UGLD 0.995061
UBG 0.987453
DBP 0.986974
GTU 0.974220