Number Crunching After Capturing and Sorting.

[ruthlessimon]

there could be possible edges if you can find the discriminator(s) between the ups and the downs.

And how would you suggest I look for that? (i.e. discriminators) - this is what me & Cal have been itching to understand

Or was that the origin of a backfitted strategy that has now been extended and died with reversion to mean

So 450 swing trades (averaging +3.92% RoS) isn't enough of a confirmation?

But the definition of the death of a strategy would be a (roughly) 0% return on stake (slightly more negative due to commission; maybe -0.4%). Yet after 450 trades it's losing -1.22% on average per trade.

Edit: BTW hope your implied PL is nett for these and allows for commission since that can have big consequences and wipe out any profit.

Technically speaking, because the strategy mentioned is taking multiple trades a market at times. Commission has actually been unfairly overemphasized in the data

[ruthlessimon]

That is much smoother but at the same time, last time it touched -1000 it reversed and flew up past 0, I wonder what will happen now the sample has just touched +1000 on the y axis

I look forward to seeing that too

Btw this could be a factor for understanding what's occurring. But I'm not sure how to interpret the following info:

The overall P&L: £1,027
The overall return on stake: -0.05%

(commission on winners has been factored)

I've always assumed a negative return on stake will lead to a negative p&l - but this hasn't occurred





Maybe XO's & the entry prices are a vital factor

[foxwood]

there could be possible edges if you can find the discriminator(s) between the ups and the downs.

And how would you suggest I look for that? (i.e. discriminators) - this is what me & Cal have been itching to understand

Assuming you have the data in Excel then use a pivot table and apply filters - I'm also assuming that each data point has (or can be tied to) properties like market, race type, distance, value, class, favourite, etc ? If you have nothing else than prices at a point in time then your only reference point is probably time to official off ?

Or was that the origin of a backfitted strategy that has now been extended and died with reversion to mean

So 450 swing trades (averaging +3.92% RoS) isn't enough of a confirmation?

But the definition of the death of a strategy would be a (roughly) 0% return on stake (slightly more negative due to commission; maybe -0.4%). Yet after 450 trades it's losing -1.22% on average per trade.

How is it losing per trade - I assume your graph (p2 of the thread) is showing PL on the y axis which indicates a profit of ~400 after 450 trades.

As I say - not sure what it is a picture OF

[ruthlessimon]

Assuming you have the data in Excel then use a pivot table and apply filters - I'm also assuming that each data point has (or can be tied to) properties like market, race type, distance, value, class, favourite, etc ? If you have nothing else than prices at a point in time then your only reference point is probably time to official off ?

That's a good point, certainly doable - watch this space

How is it losing per trade

You've confused me now What do you mean by this?

I assume your graph (p2 of the thread) is showing PL on the y axis which indicates a profit of ~400 after 450 trades.

As I say - not sure what it is a picture OF

Yeah it's showing p&l on the y-axis (equity curve)

But like I said to Naff, the p&l in effect is meaningless. Raising the stakes will naturally act as leverage to any p&l (assuming those stakes can get filled @ market). But 4% is a pretty large automatable RoS (for 450 trades) when compared to other strategies.

Conventional trading literature suggests this would have been more than enough of a sample to confirm an edge - therefore I believe my example is a great case study to budding quant/discretionary traders - & why understanding/connecting the vital variables is so important

[ruthlessimon]

A problem I'm noticing will I'm doing data crunching like this, is I'm losing track of the strategy input variables. Ideally, from now, I need to keep rigorous track - to save going round & round in circles!

A capitulation after 1500 trades - again traditional literature will suggest that has to be an edge given that sample - clearly not!

[ruthlessimon]

This is the first time I've ever seen such a perfect example of a true failing edge (instead of a reversible one - which I think the others potentially are) imo.

It shouldn't capitulate, but very slowly bleed out via commission.

Problem is - it's incredibly rare to see such a perfectly random looking equity curve

[ruthlessimon]

Questions : What if you'd started the trial in late July, would you have persisted after a month?

There's only one certainty, this game drives you insane in the membrane

Shaun I'm gonna ask you a similar question - would you have continued with this strategy @ 0 expectancy for 700 trades?

Moreover, is the current "waning" a sign it's about to go exponential again??



P.S. When I first saw this chart it reminded me of this, from the old physics stuff!

[spreadbetting]

Moreover, is the current "waning" a sign it's about to go exponential again??

Do you have an idea of why your strategies should work , Simon? Or is it simply looking for patterns in the numbers and expecting/hoping they to repeat?

[ruthlessimon]

Do you have an idea of why your strategies should work , Simon? Or is it simply looking for patterns in the numbers and expecting/hoping they to repeat?

No idea - I do it backwards.

I'll get excel to randomly generate "strategy inputs" for certain variables (i.e. course, runner, volume etc) - & sometimes equity curves pop out looking like (i.e. any graph I've posted so far). So the only info I have is the inputs, rather than a concept.

The benefit is excel isn't biased - & looks to be finding crazy cool looking stuff.

Problem is, the fact that I can't justify what the "real" cause/concept is behind the equity curve - means that it's not really tradeable in its current form (potentially lots of "similar" strategies etc).

Hence why I'm fascinated in how other traders (especially Peter), goes about trade idea generation, & turning those ideas into powerful trading concepts - which stand up longterm

[foxwood]

A capitulation after 1500 trades - again traditional literature will suggest that has to be an edge given that sample - clearly not!

Trying to get some idea of the timescale these pictures are representing. When you say 1500 "trades" do you mean markets or are these individual price movements you're latching on to ? What's the overall timescale the picture represents, is it a year, is it a week ?

The answer to that helps to answer if there may be an edge or not imho.

Not sure any "traditional literature" exists for sports trading yet given how young and volatile sports exchanges are. If you are talking about traditional advice for financial trading such as stocks and shares then, personally, I don't think much of it applies, mainly because those markets are unbounded in time and price. Sports betting (trading) has absolute outcomes in a known time frame and are bounded by book percentage. It all has to work differently - unfortunately.

[spreadbetting]

The benefit is excel isn't biased - & looks to be finding crazy cool looking stuff.

Thanks, do you have any live bots or are you still data gathering? Playing live usually highlights any flaws very quickly but also throws up lots of quirks you might want to exploit that probably won't show up in raw data.

[ruthlessimon]

Thanks, do you have any live bots or are you still data gathering? Playing live usually highlights any flaws very quickly but also throws up lots of quirks you might want to exploit that probably won't show up in raw data.

Not at the moment, & the reason for this (as I've been looking through the data more closely in recent days), I can see the strategies excel are pumping out aren't optimised correctly (i.e. stupidly refined i.e. only trade between 3mins & 2mins remaining to post)) - & perhaps this is a bias of mine - but why should I trade something, that I know can definitely be improved (even if it is already an edge) - for the risk of variance/low returns.

Although that's a rotten bias! One which we've talked about before

[ShaunWhite]

Plausability ∝ confidence in existence. It's stats, not religion.

Si, the saddest thing I saw recently was you saying you "need" Peter. Any self respecting addict needs more than one dealer in their phone to get themselves through times of drought, and when all else fails, grow your own.

I get it though really, what you need is confirmation you're on the right track and some assurance that you're not being mugged off. It's like those situations when you realise you always call your girlfriend but she never calls you.

I like the idea of weighting recent data, it's logical. 1915 is irrelevant so 2015 is on that relevenace slope somewhere.

Sb and foxwood speak a lot of sense.

[ShaunWhite]

If edges in data sometimes don't turn into a £ profit then it's perfectly possible that £ profits don't always show themselves much in data.

A change is as good as a rest. Invest £20 in trying an idea that's technically doable even if it looks marginal.

That seems to be what pw has said, and once you're working with live data and matching you'll be in a much better place to tune it.

[ruthlessimon]

Si, the saddest thing I saw recently was you saying you "need" Peter.

... Says the guy who applied for the "Day with Peter" competition

But yah like you say, it's about knowing if we're on the right track/advice for taking it to next level understanding