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.
Arnout Tilgenkamp (2021). White Reality Check (https://www.mathworks.com/matlabcentral/fileexchange/34306-white-reality-check), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!