White Reality Check

Version 1.3.0.0 (2,23 Mo) par Arnout Tilgenkamp
A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano
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Mise à jour 15 oct. 2013

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This is a test used for significant performance, while taking into account the data mining issue.

I have added the paper of Politis and Romano describing the bootstrap; the paper of White describing the test! These can also be found free of charge on the internet.

Finally I have added a paper where I am the co-author. This paper can only be found here, and it describes the use of the White reality Check for testing trading strategies for significant returns.

Note: While the code is publicly available to promote research on this topic, I would very much appreciate it if a footnote is used (mentioning the source of the code) when used for papers.

Kind regards

Citation pour cette source

Arnout Tilgenkamp (2024). White Reality Check (https://www.mathworks.com/matlabcentral/fileexchange/34306-white-reality-check), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2011b
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Version Publié le Notes de version
1.3.0.0

None
1.2.0.0

Update 1: The testing vs benchmark model is now correct.

Update 2: Removed some bugs and errors that were reported to me

Summary: Updated and Tested ==> It should work fine for all forms of testing.
1.0.0.0