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Here is some code I wrote to generate a correlation matrix and plot for a list of symbols. In my example, I am pulling the data out of my database, but you could also use the quantmod library and getSymbols() function to get the data from a public source …
ETF replay is a great site and I use it often to check on how different systems would have performed. Still deciding how to go live with the data but it's fun to review.
