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I recently purchased

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.


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Why not contact the author? His email address is on his firm's website. – chrisaycock Sep 20 '12 at 2:00
@user2936: You can accept one of the answers if you are satisfied by it :-) – vonjd Jan 28 '13 at 16:20

2 Answers 2

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.

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

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

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