Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap
使用White的Reality Check自助法评估简单技术交易规则，量化并调整数据窥探偏差，首次对全部规则进行综合绩效检验，并扩展了Brock等人的研究。
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 first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average, and determine the effects of data‐snooping.