Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap

@article{Sullivan1999DataSnoopingTT,
  title={Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap},
  author={Ryan Sullivan and Allan Timmermann and Halbert L. White},
  journal={Journal of Finance},
  year={1999},
  volume={54},
  pages={1647-1691}
}
In this paper we utilize Whites Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect inthe context of the full universe form which the trading rules are drawn. Henxe, for the first time, the paper presents a comrehensive test of perfomance across all technical trading rules examined. We consider the study of brock, Lakonishok and LeBaron (1992), expand their universe of 26… 
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