Code for Evidence Based Technical Analysis

Question

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!

Why not contact the author? His email address is on his firm's website. — chrisaycock, Sep 20 '12 at 02:00
@user2936: You can accept one of the answers if you are satisfied by it :-) — vonjd, Jan 28 '13 at 16:20

score 3 · Answer 1 · answered Sep 20 '12 at 15:50

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.

score 2 · Answer 2 · answered Sep 20 '12 at 17:51

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:

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

Code for Evidence Based Technical Analysis

2 Answers2