Resources for Reproducing Evidence-Based Trading Tests

Summary

The discussion points readers seeking to experiment with the methods in Evidence-Based Technical Analysis toward several resources for code and data. It identifies a companion-site PDF containing C++ code for a permutation routine used to evaluate trading systems, and notes that an R package provides an implementation of White’s Reality Check test.

Additional references include blog posts about the book and a freely available tool associated with a bootstrap test. These pointers can help researchers explore permutation, bootstrap, and data-mining-bias methods in practice. The discussion does not supply the underlying datasets, describe the methods in enough detail to reproduce a full analysis, or assess the quality and current availability of the linked materials; users would need to consult the cited resources directly.

Key ideas

• A companion-site PDF is identified as a source of C++ permutation-test code.
• An R package is cited as containing an implementation of White’s Reality Check.
• Blog posts and a free tool are suggested for exploring bootstrap testing.
• The discussion offers resource leads but does not provide datasets or evaluate reproducibility.

Tags

# Code for Evidence Based Technical Analysis


# Code for Evidence Based Technical Analysis












I recently purchased http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741

Is there an open source repository that contains (or contains as close as possible):

- the code used

- the data used?

The main thing is that -- reading is great, but playing with data is even more fun.

Thanks!

## Answer by babelproofreader (score 3)

https://quant.stackexchange.com/a/4161

The companion website to the book here has a PDF download ("Monte Carlo Permutation Evaluation of Trading Systems") on pages 18-20 of which there is C++ code for the permutation routine. Code for White's Reality Check test is available from the ttrTests package for R.

## Answer by vonjd (score 2)

https://quant.stackexchange.com/a/4163

The Automated Trading System-blog has a few posts about the book with a helpful tool at the end:

- http://www.automated-trading-system.com/evidence-based-technical-analysis-aronson-book/

- http://www.automated-trading-system.com/bootstrap-test/

and here the conclusion with the free tool for the bootstrap-test:

- http://www.automated-trading-system.com/bootstrap-take-2-data-mining-bias-code-and-using-geometric-mean/

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.