I'm trying to apply the FDR+ (False Discovery Rate +) methodology from Bajgrowicz (2011) link another_link. I have computed the p-values with the stationary bootstrap as they did, however I am not sure how to use the FDR+ methodology in order to pick the trading rules that are 'truly' outperforming.
This is what they argue in their paper:
"We derive an algorithm that allows the construction of a portfolio of trading rules with a FDR+ level fixed at at predetermined rate. The algorithm starts with the rule having the smallest p-value (and a positive performance). Then, the rule corresponding to the next p-value is added and the FDR+ recomputed. This process is repeated until we reach the desired FDR+ rate, and we select the rules resulting in a FDR+ not greater than the predetermined level."
I'm trying to make the code in R, but some pseudocode would already be of great help.