Abstract Research into global, millennial‐scale climate oscillations during the last glacial requires wiggle matching. One method for adequate wiggle matching is based on the dating of the climate proxy records. Luminescence dating methods are needed for estimates of last glacial ages in terrestrial records. However, such dating methods are not accurate enough for millennial‐scale wiggle matching. It is shown that a multi‐proxy comparison of two sections that are situated close to each other may considerably improve the accuracy of wiggle matching. The method is tested by an application on two loess sections of last glacial age in Vojvodina, Serbia. The climate proxies include magnetic susceptibility, leachate Ba/Sr and grain size. Firstly, single proxy‐wiggle matches between both sections are analysed successively with the same and with different proxies. Secondly, a multi‐proxy wiggle match based on all three proxies of the two sections is presented and compared to the single‐proxy tests. In such a procedure, it becomes clear which wiggles are mainly determined by local conditions and which have a more extended significance. It is concluded that a multi‐proxy approach results in the best and the most unique wiggle matches. Copyright © 2009 John Wiley & Sons, Ltd.