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White Reality Check

version 1.3.0.0 (2.23 MB) by Arnout Tilgenkamp
A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano

1.1K Downloads

Updated 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

Cite As

Arnout Tilgenkamp (2021). White Reality Check (https://www.mathworks.com/matlabcentral/fileexchange/34306-white-reality-check), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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