Strategy Development: Modelling

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ruthlessimon
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PeterLe wrote:
Wed Jun 20, 2018 5:06 pm
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.
That's more than just a decent analogy, next time I see some money down an actual manhole I'll probably use your chewing gum method :lol:

But yeah, I'd call that genius, flair, talent - to be able to spot ways to "remove the red tape" of a strategy/process. Having that sort of initiative is something I try to improve daily
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Euler
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Location: Bet Angel HQ

Got to say, this is a great thread and a lot of the comments from a number of posters echo my thoughts exactly. You would be surprised how reckless the market is at leaving money on the table. I quite like chaotic markets because when people are running around like headless chickens I'm just sat there dodging the oncoming traffic and picking up the litter they leave behind.
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ShaunWhite
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I'll file that in the If you can keep your head when all about you are losing theirs.... chapter.

Thanks for contributing, especially while you're busier than a five dollar hooker. Every sentence really does get all the attention of another fragment of Rosetta stone by your tifosi as you can probably tell.
spreadbetting
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northbound wrote:
Wed Jun 20, 2018 7:56 pm
spreadbetting wrote:
Wed Jun 20, 2018 7:26 pm
If you've managed to break even after commission you must be doing something right, all you need to do now is figure what you're doing that's making money and the reason why it's making you money.
That's the tough part.

If I may ask, how often do you have to ditch winning strategies (proven over hundreds of trades) because they start reverting to the mean (over the next few hundred of trades)?
I'm the wrong person to ask , I wouldn't have a clue where my mean even started from to be honest. My approach is more based on looking for value than looking for patterns. Like I said earlier in the thread, it's easy to backfit winning strategies by looking thru old data but they rarely hold up in real life though.
stueytrader
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In my past life (mostly as a punter not trader) I have used regression models for sports such as football goals markets.

Exactly the point above though: the past does not always (enough) predict the future, that's the massive issue. Plus, it's already factored by others who did the same analysis as you.

Seems the secret is to only analyse those factors or areas that others have less interest in, but then they can become weak factors to use.....
stueytrader
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However, I do think that trading is rather different, because we're mostly trying to predict movement not outcomes, and this can (IMO) be very specific to each specific selection that you are trading. More room for factors to go unnoticed by others looking at the same market, and of course more choice of which/when/how to trade it around, given the continuous flow of prices and changes. That's got to be good news.
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ruthlessimon
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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
The criteria of this strategy ("optimised" - found randomly via excel) literally could be written down in 3 words. (April & May sample)

My issue is, it's so simple anyone could find this.

Image

Anyone could make a bamboo stick with chewing gum after seeing the first guy. However, if my saliva made the chewing gum stay sticky far longer than average Joe, suddenly the edge is inherently linked to myself - & impossible to replicate. I feel that's what adding complications will bring - assuming the above is an edge ;) Delaying the inevitable erosion of the edge, & increasing profitability.
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ShaunWhite
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ruthlessimon wrote:
Thu Jun 21, 2018 3:09 pm
My issue is, it's so simple anyone could find this.
Do you want to spill the beans ;) ? Then we might understand more about the example and if what you're saying is relevent.
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ShaunWhite
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Euler wrote:
Wed Jun 20, 2018 8:15 pm
You would be surprised how reckless the market is at leaving money on the table. I quite like chaotic markets because when people are running around like headless chickens I'm just sat there dodging the oncoming traffic and picking up the litter they leave behind.
This an area where sports markets provide opportunity where the financials don't. All significant money in financials is smart money, smart enough anyway not to leave scraps on the table. Sports markets have a much higher ratio of less smart money.

It's tough competeition to get it though with preditors like Mr Webb around. Killing seems easy when you're a tiger, not so easy when you're a cub.
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ruthlessimon
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ShaunWhite wrote:
Thu Jun 21, 2018 3:40 pm
Do you want to spill the beans ;) ? Then we might understand more about the example and if what you're saying is relevent.
:D

What's interesting is; removing the bias; & trading every other market using the criteria; kills it (looks random imo)

Image

Ironically it's been slightly boosted by including every market (May only)

However, if I wasn't aware of the bias & had it merged it looks like this - most people would probably call that an edge, & stop:

Image

But "increasing the complexity" - highlights that there was a massive driver:

Image

Perhaps I've come to this conclusion backwards. & if I had looked at the losers, the spotting the potential for refinement would have just appeared?
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ruthlessimon
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To simplify the above:

Image
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ShaunWhite
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i'll think about that later. Insanely busy here. I never realised how much MrsW does, dog needs walking, I don't have a clean mug, and I can't find a lighter and I'm hungry.... & i'm trying to test new excel stuff I was writing till 6am which is chaos when time moves so fast, plus people to email, check on mum etc etc the list is endless!

I'm a shell after just 24hrs :|
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ruthlessimon
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Just taken it a step further - separated the winners & losers from this:

Image

And just had a look at the movement prior to the entry signal

Winners (Backing (58%):
41% Steamed to entry
53% Drifted to entry :? :shock:
6% Flat on entry

Losers (Backing) (36%):
48%: Steamed to entry
49%: Drifted to entry
2%: Flat

Need to check those figures, but it would suggest the bulk of the winners are caused by a reversal. The drifters are failing (mean reversion).

& here's my problem, this could keep on fractaling as the refinement improves
Last edited by ruthlessimon on Thu Jun 21, 2018 5:23 pm, edited 1 time in total.
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ruthlessimon
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ShaunWhite wrote:
Thu Jun 21, 2018 4:53 pm
& i'm trying to test new excel stuff I was writing till 6am
I find that more & more these days, sleeping simply becomes a waste of time :lol:
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ShaunWhite
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ruthlessimon wrote:
Thu Jun 21, 2018 5:09 pm
ShaunWhite wrote:
Thu Jun 21, 2018 4:53 pm
& i'm trying to test new excel stuff I was writing till 6am
I find that more & more these days, sleeping simply becomes a waste of time :lol:
It's a big inconvenience, I've always resented it.
Same planned tonight. When SVs appeared I made a rough prototype of something to control a bot from excel (you could do it before actually but they made it more flexible & easier). I need to sort that out and plug it into my new excel stuff if it's fast enough so that BA can do more of the trading donkey work and position management, my current excel code for placing trades is a disaster waiting to happen.

Theoretical testing doesn't amount to a hill o' beans for some things, I need a way to get some real trades through rather than assuming I'm getting fills. Time to dip into the R&D budget and bear some testing losses I suspect :roll:

i LOVE the way BA is so open for input and outputs, a trading front end and a transaction processing engine! It's the dog's doodahs.

(BA merch to the usual address pls whoever is in marketing & PR)
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