fw20   <- read.csv("fw20_d.csv")
esf    <- read.csv("es_f_d.csv")

nrow(fw20); nrow(esf)

D_Change <- log(esf$Close[-1]/esf$Close[-nrow(esf)])

esfc <- cbind(esf[2:nrow(esf),],D_Change)

D_Change <- log(fw20$Close[-1]/fw20$Close[-nrow(fw20)])
OC_Change <- log(fw20$Close/fw20$Open)[2:nrow(fw20)]

fw20c <- cbind(fw20[2:nrow(fw20),],D_Change,OC_Change)

dates <- function(x) {

	strptime(x$Date,"%Y-%m-%d")

}

fw20c <- fw20c[which(!is.na(match(as.numeric(dates(fw20c))-86400,as.numeric(dates(esfc))))),]

esfc  <- esfc[which(!is.na(match(as.numeric(dates(esfc))+86400,as.numeric(dates(fw20c))))),]

nrow(fw20c); nrow(esfc)

fw20c[1:10,]

esfc[1:10,]

cor(esfc$D_Change,fw20c$D_Change)
cor(esfc$D_Change,fw20c$OC_Change)
cor(fw20c$D_Change,fw20c$OC_Change)

http://www.reakkt.com/2011/10/correlation-doesnt-mean-easy-prediction.html

WIG20 - S&P500 day-to-day correlation

R