Martingale Revisited

[ShaunWhite]

Baffles me that it isn't a BA feature.

One "tick" is just an arbitary movement. If you want the same effect all over the card then you'd want the same PL for the same size change in implied chance. One tick movement on an odds on shot isn't the same probability change as one tick at 200/1 so it shouldn't be the same profit or loss......presumably. There's no reason why Betfair couldn't change the tick sizes tomorrow, or a different exchange might have different tick sizes, then where would you be?

[MemphisFlash]

The Benefits Of Using Kelly Staking
Progress and bank balance will not be a smooth upward slope, and will be interrupted by frequent drawbacks (losing runs) but by using the fractional Kelly approach, volatility is greatly reduced, yet returns 3/4 of the compound return. For many gamblers, that is a price worth paying.
Why is a more conservative approached better? Using the Full Kelly, an average punter has about a 33% chance of seeing their bankroll cut in half before that bankroll will be doubled. Applying a more conservative approach, such as the Half Kelly, the average punter has about an 11% chance of seeing their bankroll cut in half before it they see it doubled.

[MemphisFlash]

How To Make Your Own Kelly Calculator In Excel
Creating your own Kelly staking calculator in an Excel spreadsheet is fairly simple. Here's how you do it.
Step 1
Open a new Excel spreadsheet and create the following headers: Betting Bankroll, Kelly Staking Fraction, 1 (outcome 1), 2 (outcome 2), Odds 1, Odds 2, Probability of 1, Probability of 2, Kelly Stake 1 and Kelly Stake 2
Then click the centre align button to ensure all data is displayed in the centre of their cells.


Step 2
Enter both your current betting bankroll and your preferred Kelly staking fraction into the cells accordingly.

Step 3
Next enter the two possible outcomes for this market and the odds on offer for each outcome. In this example we are betting on the Asian Handicap in a Premier League match between Manchester City and Swansea.

Step 4
Next enter your assessed probability for each outcome occurring.

Step 5
Now we get down to the serious business. In cell I2 add the following formula:
=((((E2*G2)-1)/(E2-1))*A2)*B2
In this case...
E2 = odds for outcome 1
G2 = your assessed probability for outcome 1
A2 = your current betting bankroll
B2 = your preferred Kelly staking fraction

And in cell j2 add the following formula:
=((((F2*H2)-1)/(F2-1))*A2)*B2
In this case...
F2 = odds for outcome 2
H2 = your assessed probability for outcome 2
A2 = your current betting bankroll
B2 = your preferred Kelly staking fraction

You're done. The spreadsheet will now tell you how much to bet on any given market. (When the suggested Kelly Stake is less than 0, it means no bet is advised.)

In our example, the calculator is recommending we bet £59.56 of our £1000 bankroll on Manchester City -1 goal at odds of 1.85.

[MemphisFlash]

kelly1.JPG

kelly2.JPG

[Derek27]

The Benefits Of Using Kelly Staking
Progress and bank balance will not be a smooth upward slope, and will be interrupted by frequent drawbacks (losing runs) but by using the fractional Kelly approach, volatility is greatly reduced, yet returns 3/4 of the compound return. For many gamblers, that is a price worth paying.
Why is a more conservative approached better? Using the Full Kelly, an average punter has about a 33% chance of seeing their bankroll cut in half before that bankroll will be doubled. Applying a more conservative approach, such as the Half Kelly, the average punter has about an 11% chance of seeing their bankroll cut in half before it they see it doubled.

I thought you said the Kelly criterium is a strategy that takes you to the poor house?

[jamesedwards]

Ok Im convinced Martingale can work as Ive seen the figures and I am going to modify my strategy to do another strategy and supply the sheet for all with the workings to prove how it can work. Be back tomorrow with that.

The trouble with Martingale is the system leads you into a massive sense of security as for a while (often a long time) it will look like it's working. Then one day, one horrible day, wham bam and your bank is gone.

Some of the brightest and most experienced minds in market trading on here. I highly recommend you listen to them.

[Atho55]

So in theory, if I have a probability, odds and bank. If I bolted the Kelly calculation onto it is it then possible to pass that value to a SV back into Guardian and use that SV as the stake?

Kelly.jpg

[ruthlessimon]

One tick movement on an odds on shot isn't the same probability change as one tick at 200/1

"Gentlemen, showdown please"

Data was GbIe 2020Q1. I chose a random entry time, then looked at the price 10secs later.

Xaxis is price range (i.e. 1-2 = 1.0 - 2.0).
Yaxis is the chance of a move



The market looks slightly less volatile on the higher prices, but the odds of a tick move in either direction is still around 50/50. It's never gonna be dead on 50%, but it looks pretty close to me. Averaged across the entire price series, comes out as 0%.

[jimibt]

Wow, Kelly lumped in with Martingale, that's a first. Clearly someone doesn't know what it is.

(s)he's called MemphisFlask!!

[edit] -in fairness tho, (s)he did a quick google after their initial blanket reply and realised that there's some serious sh!t to be had by using Kelly -lol. live, learn, earn!!

[Derek27]

Wow, Kelly lumped in with Martingale, that's a first. Clearly someone doesn't know what it is.

(s)he's called MemphisFlask!!

[edit] -in fairness tho, (s)he did a quick google after their initial blanket reply and realised that there's some serious sh!t to be had by using Kelly -lol. live, learn, earn!!

Makes sense now, I thought it was a typo.

[Derek27]

Ok Im convinced Martingale can work as Ive seen the figures and I am going to modify my strategy to do another strategy and supply the sheet for all with the workings to prove how it can work. Be back tomorrow with that.

When I read the first 4 words I assumed you realised it doesn't work! The advice you've been given isn't opinion, it's straightforward maths and common sense.

[ruthlessimon]

Baffles me that it isn't a BA feature.

One "tick" is just an arbitary movement. If you want the same effect all over the card then you'd want the same PL for the same size change in implied chance. One tick movement on an odds on shot isn't the same probability change as one tick at 200/1 so it shouldn't be the same profit or loss......presumably. There's no reason why Betfair couldn't change the tick sizes tomorrow, or a different exchange might have different tick sizes, then where would you be?

Actually, I've just recalc'd my strategies using a fixed stake rather than tick based - & my return on stake is slightly higher. I'm gonna have a real good dig at that in the next few days, really really surprised; cos I've always thought fixed staking is dumb. But if that's a genuine result, sure as heck makes my life easier

So, weirdly, although I disagree with what you've written your post made me challenge something I'd have never looked at.

big +1 from me

[rik]

martingale is the opposite of accumulator betting, where with accumulator you stake small to win huge, martingale you stake huge to win tiny, there is no mathematical logic behind staking a high multiple of your initial stake to recover it, just retarded gambling logic
you can see the series of double up bets as one bet so your putting huge stake on 1.01 or whatever the series of odds equates to, if your picks are rubbish which they probably are if you think martingale is good you might be getting 1% profit on a 2% chance going bust as bad value multiplies, if they are good you might get 1% profit for 0.5% chance of going bust, but you didnt maximize your profit relative to bank size and you still have a chance of going bust, regardless if your picks are good or not is no way thats optimal staking, you want to maximize value, minimize variance, martingale does neither

[ShaunWhite]

I've always thought fixed staking is dumb.

The only staking method that makes sense for me is maximum staking either the largest liability I want to have, or the most the market can stand. To do anything else would be saying that some entry prices have a different probability of profiting and needed to be traded with more or less confidence, I don't find that. My goto would be liability staking across the board but that's only because I don't have an assessment of the given situation and have to just go with what the data says is best.

I guess a manual trader uses a much more subtle staking approach based on what they're seeing, either a fiver as a dabble or lumping the mortgage money on if it's a 10/10. And when you're trading in and out and adjusting your position who knows what staking method that is. Ie just set your presets and start positioning offers of a size that feels right.

Btw I can't see how staking per tick can work, fine for scalping but if you swing the amount per tick changes anyway the further you get from your entry.

[ruthlessimon]

I've always thought fixed staking is dumb.

The only staking method that makes sense for me is maximum staking either the largest liability I want to have

Yup, that's what the data says.

For backs, fixed stake (i.e. fixed liability).
For lays, variable stake (i.e. fixed liability)