Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: Journal of Finance 54 (1999) 5, pp. 1647-1691
In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the...