White Reality Check

A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano

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