White Reality Check
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
Zitieren als
Arnout Tilgenkamp (2024). White Reality Check (https://www.mathworks.com/matlabcentral/fileexchange/34306-white-reality-check), MATLAB Central File Exchange. Abgerufen .
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Version | Veröffentlicht | Versionshinweise | |
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1.3.0.0 | None |
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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. |
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1.0.0.0 |