[chrisaycock]

Yahoo and Google are your best bets for historical prices. Just use the adjusted closing price (not the open or unadjusted prices).

Also, what you call a key area is referred to as a "sector" in investing. There are many ETF managers that try to track the various sectors, though your easiest bet might be the Sector SPDRs. Their webpage already has a correlation tool if you just want to use theirs:

http://www.sectorspdr.com/correlation/

Simply enter one of their ETFs (eg. "XLF") and look at the correlation of the other Sector SPDRs.

[astroguy]

Thank you for the link. From your experience did you notice any immediate correlation between the sectors or any time delay? If there is some time delay, it might be a key feature to notice for short term trading, sounds right?

[chrisaycock]

Um, what you're referring to is a form of high-frequency trading. For that you'll need (1) a direct connection to the exchange, and possibly even co-location; (2) historical tick data for backtesting; and (3) the hardware and software capable of executing the logic. The kinds of time-sensitive arbitrage opportunities you're hinting at take a TON of skill and start-up capital to perform.

Basically, if you haven't done this kind of stuff before, this not the type of strategy you should start with.