Datasnooping, technical trading rule performance, and the bootstrap ryan sullivan, allan timmermann, and halbert white abstract in this paper we utilize whites reality check bootstrap methodology white 1999 to evaluate simple technical trading rules while quantifying the datasnooping bias. In this paper we utilize whites reality check bootstrap methodology white 1997 to evaluate simple technical trading rules while quantifying the datasnooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Testing the performance of technical trading rules in the chinese. Adopting the false discovery rate method to control for data snooping bias and. Datasnooping, technical trading, rule performance and the. For example, whites bootstrap approach 11,8 is based on resampling. In this paper we utilize whites reality check bootstrap methodology white 1997 to evaluate simple technical trading rules while quantifying the datasnooping bias and fully adjusting for its effect inthe context of the full universe form which the trading rules are drawn. Snooping, technical trading rule performance, and the. In this paper we utilize whites reality check bootstrap methodology white 1999 to evaluate simple technical trading rules while quantifying the data. Snooping, technical trading rule performance, and the bootstrap. There is often no other choice for the analysis of timeseries data, as. Hence, for the first time, the paper presents a comprehensive test of performance. Data snooping, technical trading rule performance, and the bootstrap. Datasnooping, technical trading rule performance, and the.
Ryan sullivan, allan timmermann, and halbert white. Pairs trading, technical analysis and data snooping. Reexamining the profitability of technical analysis with whites. A reality check for data snooping social science computing. Technical tradingrule profitability, data snooping, and reality. Henxe, for the first time, the paper presents a comrehensive test of perfomance across all technical. This article examines the performance of technical rules applied to the commodity arbitrage pairs trading investment strategy using daily data from 1990 to 2016. Datasnooping, technical trading rule performance and the.