Code for various data snooping tests on financial time series.
C++ Matlab
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Hansen_Reality_Check_2005.pdf
Hsu_Hsu_Kuan_2010.pdf
Hsu_Kuan_2005.pdf
MersenneTwister.h
PolitisRomanoBootstrap.m
README
README.md
README.txt
Technical Trading, Data-Snooping and the impact of speed (april 2011).pdf
White - A reality check for data-snooping.pdf
White Reality Check Guide.docx
WhiteRealityCheck.m
Wolf_Romano_Data_Snooping_2005.pdf
example.cpp
fdr_bh.m
granger_cause.m
license.txt
mc_boot_single.m
opt_block_length_REV_dec07.m
position_vector_permutation_test.cc
technical_trading_fools_gold_forecast_evaluation_with_many_forecasts.pdf
the_bootstrap.pdf

README.md

Data-Snooping-Tests

Code for various data snooping tests on financial time series.

The data snooping tests are

a) WhiteRealityCheck.m

b) PolitisRomanoBootstrap.m

c) mc_boot_single.m

d) position_vector_permutation_test.cc

e) opt_block_length_REV_dec07.m

and two statistical tests

f) fdr_bh.m

g) granger_cause.m

a, b, e ,f and g above were downloaded by me sometime over the last few years, and at the time of download they were freely available with no restrictions.

c and d were written by me. c is a very simple implementation of White's Reality check for a single test. d is an Octave .Oct implementation of the permutation test as detailed in

http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470008741.html

Another code source is the archived ttrTests package at

http://cran.r-project.org/src/contrib/Archive/ttrTests/

Also included are various papers on the subject of data snooping.