What exactly's wrong with Kelly?MemphisFlash wrote: ↑Sun Jun 21, 2020 4:03 pmMartingale, fibonnacci, Kelly criterion all strategies that will send you to the poor house.
Martingale Revisited
Have you considered this Maria esque staking plan that only risks a % of your bank. Potentially you could link up your selections to it and have the stake calculated to return to your v55 status clearing sheet.
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ShaunWhite
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If you want to explore this just do it in excel. You'll be suprised at the length of losing runs even with a strike rate of evens. Was only a couple of years ago that we were all taking about the 23rd (I think) straight losing favourite.
If you do the maths you'll see that you either have a winning strategy or not, staking, like stop losses, are red herrings. Kelly is the only one with credability but needs a great ratings system, and nobody here has one.... or they wouldn't be here.
And let's face it, millions of people have been gambling for centuries, incl some of the brightest minds in maths. If you or anyone thinks they've discovered anything new then they need to do their homework. All they've done is reinvent a broken wheel.
If you do the maths you'll see that you either have a winning strategy or not, staking, like stop losses, are red herrings. Kelly is the only one with credability but needs a great ratings system, and nobody here has one.... or they wouldn't be here.
And let's face it, millions of people have been gambling for centuries, incl some of the brightest minds in maths. If you or anyone thinks they've discovered anything new then they need to do their homework. All they've done is reinvent a broken wheel.
I can't really make the Martingale any simpler than this. If you sit at a roulette table with £1023 and do a £1 Martingale on red/black/odds/evens, the probability of doubling your bank is:-
(1 - (19/37) ^ 10) ^ 1023 = 0.2711
Probability of doubling your money if you put the flipping lot on the table and take your chances are 0.4865.
The simple laws of probability state:-
1) if you punt odds less than the true chance of winning you are guaranteed to lose long-term.
2) the more you gamble the more you lose!
(1 - (19/37) ^ 10) ^ 1023 = 0.2711
Probability of doubling your money if you put the flipping lot on the table and take your chances are 0.4865.
The simple laws of probability state:-
1) if you punt odds less than the true chance of winning you are guaranteed to lose long-term.
2) the more you gamble the more you lose!
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Dr Ginhog
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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.
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ruthlessimon
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I dunno what it's called, but I like staking by tick (i.e. every tick move I'll win/lose roughly the same amount, no matter the price).
A £400 stake @ 1.8 is totally different to a £400 stake @ 6.8
Let's assume I go for a back swing, lose 5 ticks (& hedge)
£400 @ 1.8 -> 1.85 = -£10.53 (-£2 per tick)
£400 @ 6.8 -> 7.8 = -£51.28 (-£10 per tick; ouch!)
Baffles me that it isn't a BA feature. Peter why's it shit for trading???
A £400 stake @ 1.8 is totally different to a £400 stake @ 6.8
Let's assume I go for a back swing, lose 5 ticks (& hedge)
£400 @ 1.8 -> 1.85 = -£10.53 (-£2 per tick)
£400 @ 6.8 -> 7.8 = -£51.28 (-£10 per tick; ouch!)
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ShaunWhite
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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?
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MemphisFlash
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- Location: Leicester
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.
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.
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MemphisFlash
- Posts: 2162
- Joined: Fri May 16, 2014 10:12 pm
- Location: Leicester
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.
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.
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MemphisFlash
- Posts: 2162
- Joined: Fri May 16, 2014 10:12 pm
- Location: Leicester
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I thought you said the Kelly criterium is a strategy that takes you to the poor house?MemphisFlash wrote: ↑Sun Jun 21, 2020 6:55 pmThe 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.