Strategy Development: Modelling

[ShaunWhite]

I've just caught up with this thread and I must say I'm really liking the quality and depth of the discussion. LinusP,Euler,Ruthless & rinconpaul, all thought provoking stuff.

I'm just going to refer back to my posting showing the graph, and add some info. I'll share it with you for 2 reasons.

1. I can because I'm certain it's not profitable (gee thanks) the output is for 0% commission. I'm confident it's not even on the way to being profitable. It's also extremely basic, so much so I'm almost suprised nobody regognised it. Plus 2017 data is inconclusive to say the least! So help yourself, I'm not pursuing it. If I turn out to have shot myself in the foot with both barrels, so be it.

2. I hope it's a good example of how being irrational leads to being illogical and ultimately nowhere. Specualtion about what I'm seeing would be interesting too whether or not you have a database you can explore. With any luck you'll say you can't reproduce it, then I can accept my data is screwed and I can stop trying to explain it.

I'll try and be brief, not my speciality.

I got the SP 2013-16 data. 2017 was available soon and 5 years seemed enough.
I did some tidying, mins, maxes, blanks etc. Then a basic sanity check by backing every favourite to get this.

Untitled3.png

(Is this what other people see for their 13-16 SP data?, if not then I've wasted several hours!)
I was slightly suprised by the size of the deviations, but with the odd run of wins or loses it wasn't far from what seemed reasonable. What did stand out though was that it appeared to be quite rhythmic, maybe because I used to do quite a bit of music on the pc and you eventually learn to hear(ish) what you're looking at. 200ms of vocal looks different to 200ms of strings.. I digress.

To check the data further I thought I'd count the races per year and did so by putting some year markers on the chart.

Untitled4.png

Now that is suprising, not just a regular rhythm but also a symmetry within each 'bar'. A bit like noise cancelling, but backwards, odd. So lets flip the second half of each loop by laying from july to december instead.

And here we are, where I started.

Untitled5.png

[ShaunWhite]

I can now add in 2017

Untitled6.png

You can now see why I'm less keen on putting my shirt on this. It's running out of steam in 2017 and in 2018, who knows. And upturn on a totally irrational, illogical 2.5yrs cycle or continuing a downward trajectory. It's in the tea leaves.

I've obviously tried reversing the strategy from 2016 onwards and fyi if you're on anything bigger than 2% commission then forget it. If you're on 2% then you can do your own homework but I don't think you'll be impressed with 2017.

So, that's the story of a worthless strategy...BUT regardless of it being a winner, something clearly happened at the end of 2015, what happened?

I've got theories. (Conspiracy theorists here's your chance, and for the gurus, you must have seen this, what happened?)

1. A bot emerged at the end of 15, and in 2017 something else has emerged and it's been nulified. Probably not.

2. Something changed in the BHA rules and it affected 'something' (BHA online changes list only go back a year so can't even begin to check). Probably not.

As I write this I've thought of another to check....

yep 3. Number 3 ...You'll like this one, not a lot, but you'll like it. I hope this might even cause a little ripple (verbal rather than of applause). Drum roll....

Wikipedia : Betfair.... was listed on the London Stock Exchange as Betfair Group plc, until it merged with Paddy Power to form Paddy Power Betfair on 2 February 2016.

and no doubt with some influence before 2 Feb 2016?

Ladies and gentlemen of the jury I rest my case.
But can someone please explain what's actually happening, I don't understand it enough. Is this all known and I've only just caught up with the plot and it's old news? And lets not forget this is a ridiculous illogical strategy back jan-jun, lay july-dec. How is that a window into anything going on at Betfair!

[ShaunWhite]

Linus,
I looked at the above and considered the number of monkeys. There are legions of monkeys which makes this pattern highly probably, but as it was the first monkey that did it, and that seems highly improbable too.

[LinusP]

From what I can see it looks as though you are seeing mean reversion but by chance it happened to match the timeframe of a year for a few years. This is something that can be taken advantage of most of the time but I am not sure in this example.

[rinconpaul]

If we're talking modelling here, I'll say this,"Never base a strategy or backtest on any freely available published data source!" E.g. Betfair SP files. I wasted years doing it. They're full of errors and of no real use live, as you can't ever predict SP. You can react to it if you want to go in play, that's all.

Harvest your own live data and build a database to model. I harvest the last "?" Minutes betting at "?" Second frequency (Back, Lay, LTP & Vol). When you get 6 months worth, you'll see a whole lot of mysterious things? Illogical things! You need to be an illogical thing purveyor and prey on punter/trader errors. Forget old school wisdoms and be contrarian. Be prepared to Dutch and bookmake multi runners in the same race.

[ShaunWhite]

be contrarian.

In daily life that's my middle name, or "trust you to always think the *!$£* opposite and be difficult" according to my missus.
I just need to learn when it means wrt strategies because I'm also cripplingly logical which is a big hinderance.

Not sure if I need time with a statastician or a psychiatrist. Don't answer that one

[ShaunWhite]

From what I can see it looks as though you are seeing mean reversion but by chance it happened to match the timeframe of a year for a few years. This is something that can be taken advantage of most of the time but I am not sure in this example.

That's pretty much what I woke up thinking.

[Anna List]

I've just caught up with this thread and I must say I'm really liking the quality and depth of the discussion. LinusP,Euler,Ruthless & rinconpaul, all thought provoking stuff.

I'm just going to refer back to my posting showing the graph, and add some info. I'll share it with you for 2 reasons.

1. I can because I'm certain it's not profitable (gee thanks) the output is for 0% commission. I'm confident it's not even on the way to being profitable. It's also extremely basic, so much so I'm almost suprised nobody regognised it. Plus 2017 data is inconclusive to say the least! So help yourself, I'm not pursuing it. If I turn out to have shot myself in the foot with both barrels, so be it.

2. I hope it's a good example of how being irrational leads to being illogical and ultimately nowhere. Specualtion about what I'm seeing would be interesting too whether or not you have a database you can explore. With any luck you'll say you can't reproduce it, then I can accept my data is screwed and I can stop trying to explain it.

I'll try and be brief, not my speciality.

I got the SP 2013-16 data. 2017 was available soon and 5 years seemed enough.
I did some tidying, mins, maxes, blanks etc. Then a basic sanity check by backing every favourite to get this.
Untitled3.png

(Is this what other people see for their 13-16 SP data?, if not then I've wasted several hours!)
I was slightly suprised by the size of the deviations, but with the odd run of wins or loses it wasn't far from what seemed reasonable. What did stand out though was that it appeared to be quite rhythmic, maybe because I used to do quite a bit of music on the pc and you eventually learn to hear(ish) what you're looking at. 200ms of vocal looks different to 200ms of strings.. I digress.

To check the data further I thought I'd count the races per year and did so by putting some year markers on the chart.
Untitled4.png

Now that is suprising, not just a regular rhythm but also a symmetry within each 'bar'. A bit like noise cancelling, but backwards, odd. So lets flip the second half of each loop by laying from july to december instead.

And here we are, where I started.
Untitled5.png

Someone mentioned Mean Reversion.

I was really into that a few years ago. I thought that it was the answer to all of my prayers or, at least, some of them. Of course, it wasn't.

No disrespect to anyone intended but there are real practical issues involved from reacting to the above charts. I'm sure most of you understand this but those with less experience may not.

From these charts, it looks a simple task to determine when to switch the system on and off or swap from backing to laying and vice versa.

Trust me, it's not.

Let's suppose that we switch the backing system on after the low pint has been reached and switch it off or switch to laying after the high point has been reached. Sounds soooo, simple, doesn't it?

In reality, it isn't because, right now, we are looking at past data which has all been charted. We can see what we should have done and when we should have done it.

At the time, this would have been far less clear because the chart would have been a developing entity, not a completed one. At the macro level and after the event, trends are obvious and therefore can only be reacted to retrospectively. At the micro level and at the time of the event, trends develop only slowly and, it is only after a trend development that one comes to realise what one should have done. Sadly, at the time of the event, trends are not yet developed and therefore how one should react is problematic.

Here's an example. It looks as if an upward trend is developing. Sadly, time has already been lost and bets not made because we were awaiting the development of a trend. So, we begin backing. Ooops, we start to lose. The trend has started to reverse. So, do we stay in and continue backing or do we cease?

If we stay in and continue backing, the downward trend could continue and we could lose even more. On the other hand, the trend could re-reverse and we may start winning - but which?

If we get out, the trend could reverse again and we would have won had we not stopped betting. On the other hand, the downward trend could continue. If we continue backing, we could continue to lose. On the other hand, we could stop backing and save ourselves a fortune. But, which is it to be?

When I experienced all this, I too decided that this is not the way forward.

[Euler]

I always have to come up with a reason why it would work, then when it's deploying I immediately use that assumption to test the opposite. If I get opposing results then I feel much more confident that I'm in the right place. So it's the process of trying to disprove a theory that proves it.

[Atho55]

It may just be me but I find it helps to project my past stat findings forward then attempt to recreate the rule in Guardian to see if the implementation (Practice mode) matches the stats. It soon becomes clear how it is doing.

Fwd Chart.png

[ShaunWhite]

I really do feel like the slow kid at the back of the class

I always have to come up with a reason why it would work.

It? It being somethng you found in the data or a gut feeling ?

then when it's deploying

Deploying being the key word? Because if 'it' was something you found in the old data, then finding the opposite in the old data would be self fulfilling, pointless? So you look forthe "anti-it" also occuring in the newest data being collected first, not just more 'it'. Because doing so tests that the opposite is evident asap, rather than immediately trying to benefit from an assertion you haven't confirmed?

I immediately use that assumption to test the opposite.

I must say this is where I struggle.

So if "it" was a strategy to back then lay, you'd lay then back ? To see if would lose ? or if you were backing in races <1m you'd try backing in races >1m.

So it's the process of trying to disprove a theory that proves it.

Therefore, proving 'not it' is false, as confirmation of your theory that 'it' is true? Double confirmation.

....I feel like I'm panning for gold.

If I never make trading pay 'well' I'll be utterly crushed because I've never worked or thought about something so hard, as I have in this last year. Must have put in about 3000hrs but still feel like I've only reached the six-chair-challenge

[spreadbetting]

I remember back in the 1990's there was a relay agent called Keith Nicholson who used to sell on all the premium rate tips and systems from the small ads in the Racing Post/Sporting Life. Think I paid around £10 and got a massive bundle of photocopied systems which generally consisted of backfitted systems for the weeks big races where someone had managed to get a 80% profile for the previous winners and sold it on as a winning system for the weekend. Whenever I see posts with people trawling thru reams of data looking for edges it always reminds of that £10 I wasted

[ruthlessimon]

I really do feel like the slow kid at the back of the class

If I never make trading pay 'well' I'll be utterly crushed because I've never worked or thought about something so hard, as I have in this last year. Must have put in about 3000hrs but still feel like I've only reached the six-chair-challenge

+1 Really hope Peter expands

[Euler]

There was another thread somewhere where I was hinting that prices are often out of kilter. Plenty of counter arguments on the thread as well.

So to test that (in 2011!!!) I started looking at opening prices, closing prices and variation with a view I could probably pick where something was no longer value. Once I'd refined how I was going to do that I started laying with small amounts to test what happened. That seems to work, so I adopted the anti strategy and that lost money convincingly so I was satisfied I could raise stakes. I started at £50 and worked my way up to £1k stakes. But have refined the selection process significantly along the way.

[Euler]

I remember back in the 1990's there was a relay agent called Keith Nicholson who used to sell on all the premium rate tips and systems from the small ads in the Racing Post/Sporting Life. Think I paid around £10 and got a massive bundle of photocopied systems which generally consisted of backfitted systems for the weeks big races where someone had managed to get a 80% profile for the previous winners and sold it on as a winning system for the weekend. Whenever I see posts with people trawling thru reams of data looking for edges it always reminds of that £10 I wasted

I remember that well and have also been there.