Post my last mail, i got in touch with David St John of UIC (dstjohn@math.*
uic*.edu) who is the author of the R package ttrTests -His PhD was in this
area.

After exchanging several mails with him, this is my synopsis on how to go
about calculating the p-value for White's RC- i am sharing it for the
benefit of all who dont find the STW Journal of Finance 1999  paper easy to
understand:

1) Resample returns (sample with replacement) and apply the trading rule on
the resampled returns. This will give you the positions to be in (e.g. 1,
-1, 0) on each day.

2) Calculate Mean Excess return of a resampled set = conditional mean return
of resampled set - unconditional mean of resampled set

where:
conditional mean return of resampled set = sum of (resampled returns *
positions ) / number of days
Note: positions = positions given by the rule- this will be a vector of 1s,
0s, and-1s
unconditional mean of resampled set = sum of resampled returns / number of
days

3) Repeat step 2) for 'k' different rules and record the highest mean excess
return among the 'k' rules.

4) Repeat steps 1) to 3) N times. This gives you sampling distribution of N
mean excess returns.

5) calculate p-value = fraction of observations out of N with mean excess
returns > mean excess return of the rule you want to test. (Where mean
excess return of the rule you want to test = conditional mean return of the
rule - unconditional mean return of real observed returns.)


Thank you
Subramanian

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