Strategy Development: Modelling

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ruthlessimon
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Also, option 1 means being at a huge risk to change. A market shift, sees it erode.

By having extra layers of complexity hedges that risk
Lucacrebbe
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ruthlessimon wrote:
Mon Oct 23, 2017 1:49 pm
Since there was quite a bit of interest in relation to the process of strategy development (mainly modelling), I thought it was certainly worthy of its own thread. & if this receives continued interest, could become a focal point of future BA education.

I have a feeling traders are simply unaware of when to correctly use a ‘modelling’ or ‘backtesting’ methodology (when testing a strategy; especially pre-race traders). This mundane, overlooked problem, is actually a key reason for a lack of consistency & poor returns for a trader.

Shaun provided a great example in a previous thread.

A trader unaware of the results of previous shortie races, will miss vital context going into the next races. This is something that is missed when backtesting. However, a trader who understands ‘modelling’, will be able to spot the pattern, act faster & with more confidence.

To conclude, I think the majority of traders are underdeveloped in the technique of modelling. And more information on the topic could go a long way to getting users who are negative, positive. And those who are positive, exponential.

If you’re interested in learning more about modelling or have any thoughts on the technique, drop a post :)
I am interstead I would like to know more about it
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ShaunWhite
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This one has bugged me since it was written about 3 months ago
Euler wrote:
Mon Mar 26, 2018 10:03 pm
So I then started to look at why the large moves occurred.
Challenge accepted.

Simon, I thought I'd post this below so you can see why I'm invogorated about this topic again.

Orange - Price
Blue - Direction signal generated in real time.

Every one just before the move :D and it's nothing to do with wom or even anything I've seen mentioned before....and I've really looked.

Obviously they're not all like that or I'd have a much better tan. Seems to be a case now of just finding out why it's worked on the ones it has and visa versa. I've got too many of these to be a coincidence but the usual filters are either irrelevent or ineffective. Not enough hours in the day atm.
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Wolf1877
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Interesting Shaun. I just had a look at my data for that race. Not sure if you have obfuscated or you have a bug. I did find the matching data though!
LinusP
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ruthlessimon wrote:
Tue Jun 19, 2018 6:08 pm
By having extra layers of complexity hedges that risk
I find the opposite is true.
PeterLe
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LinusP wrote:
Wed Jun 20, 2018 6:21 am
ruthlessimon wrote:
Tue Jun 19, 2018 6:08 pm
By having extra layers of complexity hedges that risk
I find the opposite is true.
Yep agree - check out https://en.wikipedia.org/wiki/Occam%27s_razor
Wolf1877
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PeterLe wrote:
Wed Jun 20, 2018 11:01 am
LinusP wrote:
Wed Jun 20, 2018 6:21 am
ruthlessimon wrote:
Tue Jun 19, 2018 6:08 pm
By having extra layers of complexity hedges that risk
I find the opposite is true.
Yep agree - check out https://en.wikipedia.org/wiki/Occam%27s_razor
I like the bit in that wikipedia article about factoring in leprechauns. I'd tend to assume they probably only affect the Irish races!
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ShaunWhite
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Wolf1877 wrote:
Wed Jun 20, 2018 6:11 am
Interesting Shaun. I just had a look at my data for that race. Not sure if you have obfuscated or you have a bug. I did find the matching data though!
Yep that seems to be the chart for Nott 18th Jun - 19:50 1m2f Hcap :roll:

Fortunately it just seems the chart title was picking up the wrong offset cell for the race and the right one for the horse. You gave me a scare for a min!

Thanks for the heads up.
PeterLe
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Wolf1877 wrote:
Wed Jun 20, 2018 12:02 pm
PeterLe wrote:
Wed Jun 20, 2018 11:01 am
LinusP wrote:
Wed Jun 20, 2018 6:21 am


I find the opposite is true.
Yep agree - check out https://en.wikipedia.org/wiki/Occam%27s_razor
I like the bit in that wikipedia article about factoring in leprechauns. I'd tend to assume they probably only affect the Irish races!
Donald Trump sprung to mind when I just re read that paragraph!
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ruthlessimon
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LinusP wrote:
Wed Jun 20, 2018 6:21 am
I find the opposite is true.
Here was my reasoning:

If there are thousands of people walking down a path, & there's £20 lying on the floor - it took no skill to get that £20, & was simply a case of you being the first to spot it. (That's where I feel I am - deploy a random strategy, find something half decent, now what :) ). I don't think it's sustainable - I wish it was.

However, if the £20 is tucked just under a manhole, people can see it - but it's gonna take someone dedicated, with the right skills to get that £20. Also, that person will always be able to get money out of manholes til they die
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ruthlessimon
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PeterLe wrote:
Wed Jun 20, 2018 11:01 am
Yep agree - check out https://en.wikipedia.org/wiki/Occam%27s_razor
So you don't think they'd be value in understanding the influence of:

1. The speed of the move (mean-reversion)
2. Compression prior to the move (momentum)

Now testing those two aspects quantitatively is a bit of a nightmare. I honestly think only a handful would have any sort of (accurate) figures along those lines (i.e. If this runner has been tight for 100 seconds & it breaks, what happens across the market?)

That's my idea of hedging basic knowledge.
PeterLe
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ruthlessimon wrote:
Wed Jun 20, 2018 4:46 pm
LinusP wrote:
Wed Jun 20, 2018 6:21 am
I find the opposite is true.
Here was my reasoning:

If there are thousands of people walking down a path, & there's £20 lying on the floor - it took no skill to get that £20, & was simply a case of you being the first to spot it. (That's where I feel I am - deploy a random strategy, find something half decent, now what :) ). I don't think it's sustainable - I wish it was.

However, if the £20 is tucked just under a manhole, people can see it - but it's gonna take someone dedicated, with the right skills to get that £20. Also, that person will always be able to get money out of manholes til they die
Sorry Simon, I haven't read the full thread..

I hope Liam won't mind me answering this..
Taking the £20 down a manhole scenario..(Many people can see the money, the majority know its there)..
There maybe many possible ways to retrieve the £20, the most elaborate may be recruiting a team of engineers; roadworkers and JCB's. Surrounding the area off (with a statement of work and safety assessment in hand). Digging the area and carefully collecting the money.
A simpler method may involve a large bamboo stick, with a piece of chewing gum on the end and 20 seconds work, quickly moving on to the next manhole.
Both have the same end result, but the least complicated method is always the preferred.
Over the years I come to learn that the most simplest methods work well on betfair
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ShaunWhite
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ruthlessimon wrote:
Wed Jun 20, 2018 4:57 pm
Now testing those two aspects quantitatively is a bit of a nightmare. I honestly think only a handful would have any sort of (accurate) figures along those lines (i.e. If this runner has been tight for 100 seconds & it breaks, what happens across the market?)

That's my idea of hedging basic knowledge.
Nothing wrong with additional understanding and refinement.
Just so long as it doesn't introduce so many moving parts that your mechanism becomes faultly and you're perming 8 from 10 cogs to find out what part is squeaking. (sorry, I'm in shed mode, wife's away till Sat so i'm funning myself to death with non-stop Excel, metalwork & pizzas :) )
LinusP
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ruthlessimon wrote:
Wed Jun 20, 2018 4:46 pm
LinusP wrote:
Wed Jun 20, 2018 6:21 am
I find the opposite is true.
Here was my reasoning:

If there are thousands of people walking down a path, & there's £20 lying on the floor - it took no skill to get that £20, & was simply a case of you being the first to spot it. (That's where I feel I am - deploy a random strategy, find something half decent, now what :) ). I don't think it's sustainable - I wish it was.

However, if the £20 is tucked just under a manhole, people can see it - but it's gonna take someone dedicated, with the right skills to get that £20. Also, that person will always be able to get money out of manholes til they die
The £20 is lying on the floor because someone dropped it, the chances are that the £20 under the manhole occurred due to multiple factors (people / forces) and it only takes one of those factors to change for that £20 to be down the sewer.

I get nervous when I start having more than 2/3 variables in a strategy as I know how delicate the market can be. If you have profitable complex strategies then stick with them but you will find that many long time pros on here don’t.

(Wrote the above before seeing Peter’s reply)
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ShaunWhite
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PeterLe wrote:
Wed Jun 20, 2018 5:06 pm
Both have the same end result, but the least complicated method is always the preferred.
Over the years I come to learn that the most simplest methods work well on betfair
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