"We calculate the correlations between 2 securities on the daily closing values of the last 20 years."
It's better to correlate daily returns than daily prices, since the latter are nonstationary, and I suggest using 1 year of daily returns rather than 20 since correlations do change over time. When I worked as a financial quant no one looked at 20 year correlations to measure near-term risk.
For a retail trader, the fees are higher, affording fewer trades in a given period.
As such the holding period might be on the order of 1 year for some people, so just 1 year of daily returns might invite too much trading if you're rebalancing.
Retail traders should be realizing gains within 2-3 month intervals. Retail investors will usually hold for years and do average pricing until the next market crash
"Retail traders should be realizing gains within 2-3 month intervals."
Not in taxable accounts where short term capital gains are taxed at ordinary income tax rates (or at an even higher rate in Massachusetts). It's difficult to beat index funds on a pre-tax basis. On an after-tax basis it is almost impossible with discretionary stock picking.
It's better to correlate daily returns than daily prices, since the latter are nonstationary, and I suggest using 1 year of daily returns rather than 20 since correlations do change over time. When I worked as a financial quant no one looked at 20 year correlations to measure near-term risk.