Required Strike Rate Formula

[ruthlessimon]

Would anyone be able to help me figure out the formula to calculate the required strike rate for a trading strategy

Out of interest, how are you planning to utilise this figure?

I'd rather know if the strategy was +ve expectancy in the 1st place; rather than what strikerate I need to make it >0

[thomsch]

Thank you everyone for your help, this is very useful.

I've begun trading football and the few strategies that I have rely on a goal for profit. I've been recording my results wins, losses, total trades, p/l, strike rate, average win/loss and been calculating the Average Profitability Per Trade ( for anyone who's interested the formula for this is: APPT = (Win Probability x Avg Win) - (Loss Probability x Avg Loss) there's a nice article on the web that I could post a link for anyone who's interested)

My p/l obviously shows me whether I'm in profit or not for a given strategy and the APPT gives me an expectancy for each trade that I make. I thought the Required Strike Rate (RST) would be an excellent figure to record as I can compare it with my Actual Strike Rate (ASR) to see how well the strategy is performing but more importantly, how well I'm performing when reading a football match for a goal. If my ASR is a lot lower than the RST I could consider abandoning the strategy. However, if the two figures are close I can look for areas to tweak to push a strategy in to profit.

[ruthlessimon]

I thought the Required Strike Rate (RST) would be an excellent figure to record as I can compare it with my Actual Strike Rate (ASR) to see how well the strategy is performing but more importantly, how well I'm performing when reading a football match for a goal. If my ASR is a lot lower than the RST I could consider abandoning the strategy. However, if the two figures are close I can look for areas to tweak to push a strategy in to profit.

I can see the logic in that; but the bit that troubles me, is over what period the strikerate gets measured.

I might add RST to my sheets; but the metrics I'm looking at atm are:

1. Max drawdown (over the yr) - as a last resort circuit breaker (simple metric)

2. Expected expectancy Basically the idea being, we assume the expectancy of strategy remains constant, & plot the equity curve into the future. We then add 2 boundaries to this line (upper & lower i.e. +/-5%); & if the real p&l breaks the lower bound - the strategy gets turned off. I think that's faster than max drawdown; but I haven't done it yet

[CallumPerry]

^ This is what I've started to do with my equity curves! Completely agree this makes a lot of sense to detect whether something is below average quickly and needs turning off.

[ShaunWhite]

Basically the idea being, we assume the expectancy of strategy remains constant, & plot the equity curve into the future. We then add 2 boundaries to this line (upper & lower i.e. +/-5%); & if the real p&l breaks the lower bound - the strategy gets turned off. I think that's faster than max drawdown; but I haven't done it yet

Plot your trend (TREND) and then plot the trend plus and minus the StdErr (STEYX)

StdErr is a bit tight imo so you might want to tweak it a bit.
btw chart below is a coin toss, it took a few F9's to get a decent looking trend line example

I agree drawdown isn't a great measure, it doesn't take into account how far ahead you might have been. It just tells you how much bank you might expect to hand back. See below...a £14 DD at run#450 would kick you out while still above trend, but the same -£14 later at run#575 is more significant.

[thomsch]

I'd rather know if the strategy was +ve expectancy in the 1st place; rather than what strikerate I need to make it >0

I take it you would use back testing to know whether a strategy was +ve expectancy in the first place? Do you know how to do this for football?

I can see the logic in that; but the bit that troubles me, is over what period the strikerate gets measured.

I'm really not sure, probably 1000s of trades and is probably a major flaw in this metric? I think I will find it useful though as a quick guide to tell me how well I'm performing when reading a football match for a goal. It may also boost my confidence in a strategy to keep using it if the ASR is a lot higher than the RST.

2. Expected expectancy Basically the idea being, we assume the expectancy of strategy remains constant, & plot the equity curve into the future. We then add 2 boundaries to this line (upper & lower i.e. +/-5%); & if the real p&l breaks the lower bound - the strategy gets turned off. I think that's faster than max drawdown; but I haven't done it yet

This is interesting and something to look in to. I am by no means an expert with Excel, would it be easy enough to do?

[ruthlessimon]

I take it you would use back testing to know whether a strategy was +ve expectancy in the first place? Do you know how to do this for football?

A quick (cold) example.

I've often wondered whether the Super6 "what people are saying" is connected to the pricing of the match.

For example, if 94% of participants think Chelsea vs. Everton, is a win for Chelsea - is it profitable to back teams (@ any price, @kickoff), if the "what people are saying" is >90%?

So, I'm gonna go out collecting the data, splitting it into in/out sample, optimise the variables (i.e. >90%), test it on the out-of-sample. & if the profitability is "similar" on the out of sample, it gets moved onto sim for a bit, still good, then live small.

Most stuff fails, when it reaches the out-of-sample data. I have very few things that genuinely pass that stage

Also, if someone could explain, how that idea above, gets turned into a "model" I'm all ears

This is interesting and something to look in to. I am by no means an expert with Excel, would it be easy enough to do?

I haven't done it myself yet; but I like the logic - & I'm pretty sure (done right), is better than any drawdown metric

[ShaunWhite]

This is interesting and something to look in to. I am by no means an expert with Excel, would it be easy enough to do?

I haven't done it myself yet; but I like the logic - & I'm pretty sure (done right), is better than any drawdown metric

See above. TREND and STEYX
Extrapolate the high and low and then try to stay betwen them when you go from test to live. As I said above StdErr is a bit tight so you might want to add a factor to it to give you some wiggle room.

Or are you describing something different?

[ruthlessimon]

See above. TREND and STEYX
Extrapolate the high and low and then try to stay betwen them when you go from test to live.

Ty, looks legnd

[ruthlessimon]

StdErr is a bit tight imo so you might want to tweak it a bit.

Problem is, that then becomes a variable

What's the difference between optimisng that, & optimisng an entry criteria?

[ShaunWhite]

StdErr is a bit tight imo so you might want to tweak it a bit.

Problem is, that then becomes a variable

A person's pain threshold is a usually contsant not a valiable. Set and forget.
StdErr wasn't designed for trading but it's a fair start given that it accounts for volatility. I guess your +/- 5% idea came from eyeballing things and (shock horror) 'feeling' what looked right....this isn't much different but adds a qualative figure and not just a hunch

[CallumPerry]

Don't want to get all soppy but I have missed you Shaun. The forum hasn't been the same without your grumpy old arse and you do say some very sensible things often which helps me add another level to my system.

[thomsch]

Thanks for the trend analysis spreadsheet ShaunWhite!

[brimson25]

Thanks for the trend analysis spreadsheet ShaunWhite!

Second this, just what I wanted. Thank you.

[Dublin_Flyer]

A quick (cold) example.

I've often wondered whether the Super6 "what people are saying" is connected to the pricing of the match.

For example, if 94% of participants think Chelsea vs. Everton, is a win for Chelsea - is it profitable to back teams (@ any price, @kickoff), if the "what people are saying" is >90%?

I tried something similar using free source data, I think it was the Livescore or Forza app where you can predict who will win a given match. Using 1000 votes as a minimum for a match, then converting the percentage to a price to see if there was a people "edge" I couldn't make any progress out of it because not enough people ever predict a draw to come anywhere near a true reflection or betfair odds at kick off.

I think most of "what people are saying" is familiarity bias. Ask people on the street who'll win the game between Real Sociedad and Barcelo...BARCELONA. Who'll win between AC Milan and G...AC Milan!

Then if you say Ok, you said AC Milan will win, give me your £50/€50/$50 and we'll bet it on them........oh wait, you never said there was my money at risk!! What team are they playing again??