Champions league 'acca'
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doctorhorse
- Posts: 3
- Joined: Wed Apr 19, 2017 3:11 pm
Don't know what I'm missing, but the Dortmund/Barcelona double is trading at 3.6-3.65 under the Wednesday acca market. However Dortmund are 2.16-2.18 and Barcelona 1.51-1.52. Using lay prices which is extra prudent will give you a double with odds of 3.3136? Anyone know why these markets don't line up? Betfred had a special on the double at 3/1 but I'd be suprised if the weight of arbers money has created such an inefficient market.
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I think the reason you provided is probably correct. A similar thing often occurs when Sky Bet do an enhanced treble on the weekends. There is deffo money to be made trading these opportunities and I know one person who is a maths expert who is doing really well with them. Unfortunately I don't know enough about spread sheets to understand exactly what he is doing, but it is far from simple, but very profitable.
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doctorhorse
- Posts: 3
- Joined: Wed Apr 19, 2017 3:11 pm
Thanks, theres certainly an opportunity here for a value bet if you believe exchange prices to be efficient. Just before kick off the price went out on the double to 3.85-3.9 and over £100k traded, only a minor drift on Dortmund left the double at about 3.35 using individual market prices. My guess is theres big arbing teams working on these Fred boosts and they were unloading their unmatched position at kick off.
I have some time now to provide a bit more information. I don’t know the guy I referred to in my previous post personally, he used to post a lot of interesting material on another forum I use, but I have not seen him post anything now for some time. For the purpose of this post I shall name him Trader A.
I shall use some figures from a Sky enhanced treble they had a couple of months ago that Trader A used to explain his methodology.
Sky enhanced a Premier League treble to 5, and it was trading on Betfair at 4.3/4.4, multiplying the individual games lay odds together gives us the implied real lay odds. This came out to 3.84, so we have here a value bet, we’re getting decimal odds of 4.3.
So provided you can put up with the variance, the plan would be to back the treble and leave it run, over the long run one should do well.
Now comes the clever bit, in order to reduce variance he does the following (Note a lot of what I am about to write goes right over my head).
He always attempts to get the higher side of the spread, so in this example managed to back at 4.4. I know many matched bettors lay off the sky trebles, as it provides them with a little bit of profit and also enables them to get the £5 free bet every week for betting £25.
He then uses Kelly optimal to size his stake, and in this example his return on average would be just under 12%. He also works out the standard deviation on this bet.
So far I could just about understand what he was on about, but the next section lost me completely. He then uses lay stakes on each of the three legs (to reduce costs he will often use Smarkets for the lays).
He optimises the lay stakes to minimise the variance (I really have no idea how he does this), this has the effect of reducing the return down to just under 9%. It also however causes a reduction in the standard deviation of nearly 60%.
As there has been a significant reduction in the variance the Kelly optimal stake can now be higher.
Here are the actual figures and explanation Trader A provided for this example. If anyone really understands what’s going on here, an explanation would be terrific. Even better if you fancy building a spread sheet that your prepared to share with the forum (I know that’s asking an awful lot) then that would be tremendous too.
Sky boosted Chelsea/Everton/West Brom to 5, it was 4.3-4.4 on the exchange and the individual lay odds were 1.28, 1.43 and 2.10. This implies real lay odds of around 3.84. I will always attempt to get the higher side of the spread – backing at 4.4 got filled relatively quickly. If your commission rate is 5%, then the Kelly optimal is 3.11% of bankroll; this becomes 3.58% of bankroll if your commission rate is 3%.
If you assume a bankroll of £10,000, and 3% commission rate, then you would stake £358 at 4.4, with an expected return of +11.82% / +£42.32. The standard deviation of this bet would be 125.34.
Now if you optimise lay stakes by minimising variance, you can lay £495.51 on the 1.28 leg (Chelsea), £471.09 on the 1.43 leg (Everton) and finally £161.48 on the 2.1 leg (WBA). This minimises the variance if you hold the back stake at £358 (ceterus paribus). If you’re laying at 2% commission, the expected return now becomes £31.25 (laying is costing us £11.06 in the long run). However, the standard deviation is now only 53.27. In other words, the s.d. has been reduced 57%. As there has been a significant reduction in the variance, the Kelly optimal stake is now higher.
It turns out that re-optimising would give you the optimal stake to back the acca as 5.53%! The lay stakes are also readjusted. Basically, we now stake £553 on the treble and lay £765.41 @ 1.28, £727.69 @ 1.43 and £892.98 @ 2.1. Our expected return for this is £48.28 and the standard deviation is 82.28. We have managed to achieve an expected return of +£48.28 and s.d. of 82.28 vs. the original no lay version of +£42.32 and s.d. of 125.34. Hence, it’s optimal to lay.
Of course, this is generally true, but if the boost is high variance and offers little value, like this week, then there isn’t much to play with
I shall use some figures from a Sky enhanced treble they had a couple of months ago that Trader A used to explain his methodology.
Sky enhanced a Premier League treble to 5, and it was trading on Betfair at 4.3/4.4, multiplying the individual games lay odds together gives us the implied real lay odds. This came out to 3.84, so we have here a value bet, we’re getting decimal odds of 4.3.
So provided you can put up with the variance, the plan would be to back the treble and leave it run, over the long run one should do well.
Now comes the clever bit, in order to reduce variance he does the following (Note a lot of what I am about to write goes right over my head).
He always attempts to get the higher side of the spread, so in this example managed to back at 4.4. I know many matched bettors lay off the sky trebles, as it provides them with a little bit of profit and also enables them to get the £5 free bet every week for betting £25.
He then uses Kelly optimal to size his stake, and in this example his return on average would be just under 12%. He also works out the standard deviation on this bet.
So far I could just about understand what he was on about, but the next section lost me completely. He then uses lay stakes on each of the three legs (to reduce costs he will often use Smarkets for the lays).
He optimises the lay stakes to minimise the variance (I really have no idea how he does this), this has the effect of reducing the return down to just under 9%. It also however causes a reduction in the standard deviation of nearly 60%.
As there has been a significant reduction in the variance the Kelly optimal stake can now be higher.
Here are the actual figures and explanation Trader A provided for this example. If anyone really understands what’s going on here, an explanation would be terrific. Even better if you fancy building a spread sheet that your prepared to share with the forum (I know that’s asking an awful lot) then that would be tremendous too.
Sky boosted Chelsea/Everton/West Brom to 5, it was 4.3-4.4 on the exchange and the individual lay odds were 1.28, 1.43 and 2.10. This implies real lay odds of around 3.84. I will always attempt to get the higher side of the spread – backing at 4.4 got filled relatively quickly. If your commission rate is 5%, then the Kelly optimal is 3.11% of bankroll; this becomes 3.58% of bankroll if your commission rate is 3%.
If you assume a bankroll of £10,000, and 3% commission rate, then you would stake £358 at 4.4, with an expected return of +11.82% / +£42.32. The standard deviation of this bet would be 125.34.
Now if you optimise lay stakes by minimising variance, you can lay £495.51 on the 1.28 leg (Chelsea), £471.09 on the 1.43 leg (Everton) and finally £161.48 on the 2.1 leg (WBA). This minimises the variance if you hold the back stake at £358 (ceterus paribus). If you’re laying at 2% commission, the expected return now becomes £31.25 (laying is costing us £11.06 in the long run). However, the standard deviation is now only 53.27. In other words, the s.d. has been reduced 57%. As there has been a significant reduction in the variance, the Kelly optimal stake is now higher.
It turns out that re-optimising would give you the optimal stake to back the acca as 5.53%! The lay stakes are also readjusted. Basically, we now stake £553 on the treble and lay £765.41 @ 1.28, £727.69 @ 1.43 and £892.98 @ 2.1. Our expected return for this is £48.28 and the standard deviation is 82.28. We have managed to achieve an expected return of +£48.28 and s.d. of 82.28 vs. the original no lay version of +£42.32 and s.d. of 125.34. Hence, it’s optimal to lay.
Of course, this is generally true, but if the boost is high variance and offers little value, like this week, then there isn’t much to play with
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doctorhorse
- Posts: 3
- Joined: Wed Apr 19, 2017 3:11 pm
Thanks for sharing that, very interesting. Ive never quite got my head around laying these accas when kick offs are at the same time. Will have a play on a spreadsheet to try and understand it fully.