Cut Your Losses?? (Mean Reversion)

[Zenyatta]

It's fascinating to watch the price chart of a selection on the few occasions when I'd known in advance exactly what the starting SP should be (due to detailed info of a horse's form).

The market does move to the correct SP by the off-time, but doesn't get there in a linear fashion. For starters, the period from 10 minutes-5 minutes before the off has a high degree of randomness, the market splutters around and the price can sometimes move 5 ticks in the wrong direction. It's only in the final 5 minutes that the price really starts to rapidly 'home in' on the correct SP, and even then there can be temporary spikes or fluctuations of 2 or 3 ticks in the wrong direction.

[Ferru123]

Hi Zenyatta

With steamers and drifters, do you find that, due to market hype, the price ends up much lower or higher respectively than its true price?

Jeff

It's fascinating to watch the price chart of a selection on the few occasions when I'd known in advance exactly what the starting SP should be (due to detailed info of a horse's form).

[PeterLe]

Deleted..

[lesblakeman]

After a couple of near career ending losses in May I decided to go the "stop loss" route , lasted about an hour , the non linear movement of the markets just makes it unworkable on horse racing .

[Ferru123]

I've found this thread very interesting.

Has anyone else experimented with random trading, where you enter at random with a stop of x ticks and an offset of y ticks?

Jeff

[dogform]

Reversion to the mean is a suicidal strategy to employ in a distinct horse rate market and anyone who thinks different is deluded.

[Ferru123]

What's your reasoning behind that belief?

Jeff

Reversion to the mean is a suicidal strategy to employ in a distinct horse rate market and anyone who thinks different is deluded.

[dogform]

What's your reasoning behind that belief?

Jeff

Reversion to the mean is generally applied to much longer time frames than the short life of a specific horse race market. How do you determine the mean of a distinct horse race market where the bulk of the activity is close to the off. A steamer is not likely to revert to the mean nor is a drifter. As I said before, suicidal policy and with no substance or foundation for horse race markets.

I made an exhaustive study on reversion to the mean for greyhound trainer statistics and trap statistics covering every BAGS race held in the UK for the past 18 months. The study did not yield any evidence that betting candidates due for mean reversion would be profitable.

[Ferru123]

A steamer is not likely to revert to the mean nor is a drifter.

Thanks for your reply Dogform.

I don't know whether it's 'likely' to revert to the mean, but trends often break down and reverse.

I made an exhaustive study on reversion to the mean for greyhound trainer statistics and trap statistics covering every BAGS race held in the UK for the past 18 months. The study did not yield any evidence that betting candidates due for mean reversion would be profitable.

I'm not sure I follow. Are you talking about situations where you bet on a steamer or a drifter reversing? If so, what were your parameters?

Also, I think what applies to greyhounds may not apply to horses, given that the liquidity in greyhound races is much lower and you therefore possibly have different players in the greyhound market.

Jeff

[dogform]

....I'm not sure I follow. Are you talking about situations where you bet on a steamer or a drifter reversing? If so, what were your parameters?

Jeff,

The application of reversion to the mean that I analysed for greyhound racing was to calculate daily the trainers winning percentage for their last 100 runners and create a daily evolving trend line. I then compared this trend line to their overall winning percentage for the previous 6 months which was used as a baseline.

By comparing the deviation of the trend line to the baseline I then checked what would have been the P/L by backing/laying the trainers runners whose percentages were quite a way from the mean and would be due some type of reversion.

I did the same thing for the trap stats and in both cases there was no significant P/L. The reversion to the mean does take place but not in a predictable pattern that can form the basis of a system.

Regards
dog