Tennis Trading : False edge? Am i fooled by variance?

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offlimit88
Posts: 68
Joined: Mon Feb 25, 2019 2:29 pm

Sat Jun 27, 2020 1:48 pm

Immagine.png
Hi, sorry for my english,i would like your opinion on this.
I am trying a new idea, i trade basically on stats. The problem with stats is that 1) Everyone knows them on average 2) You can 't be sure if stats will be similar in the future.
In this case i used some stats of 2018 and backtested on 3 months of 2019.

After 120 events, the market sets the probabilites of this event to occur in average 32 % of the time.
Based on my 1400 events research, my selections should give me a strike rate of 37%, so i'm quite sure i am into something.
Then why am i currently having a strike rate of 48%?

I developed a lot of strategies, those that start very promising usually even up at a certain point. What i am expecting here, is that the curve will begin to drop brutally, in order to match the probabilities. I want to clarify that my study is correct.

Let's say it is just good luck, did this ever happen to you? Could it be that there is something more in my selections that i'm currently not understanding?
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murdok
Posts: 101
Joined: Sun Apr 02, 2017 7:10 pm

Sat Jun 27, 2020 2:00 pm

if you have more events the date will be more accurate

eightbo
Posts: 1645
Joined: Sun May 17, 2015 8:19 pm
Location: Barcelona

Sat Jun 27, 2020 5:18 pm

you only have ~100 mkts of actual results, it's not enough
If you flip a coin 100 times it would not be so uncommon to get a 60/40 split, so 60% when we know it should be 50% — there's your 10% difference you are experiencing. ...but by the time you reach 1,000 you will be far closer to expected probability (reality of your edge)

just continue doing things as you are unchanged to more accurately answer your question of if you were or weren't fooled by randomness (variance)
https://en.wikipedia.org/wiki/Law_of_large_numbers

offlimit88
Posts: 68
Joined: Mon Feb 25, 2019 2:29 pm

Sat Jun 27, 2020 8:55 pm

eightbo wrote:
Sat Jun 27, 2020 5:18 pm
you only have ~100 mkts of actual results, it's not enough
If you flip a coin 100 times it would not be so uncommon to get a 60/40 split, so 60% when we know it should be 50% — there's your 10% difference you are experiencing. ...but by the time you reach 1,000 you will be far closer to expected probability (reality of your edge)

just continue doing things as you are unchanged to more accurately answer your question of if you were or weren't fooled by randomness (variance)
https://en.wikipedia.org/wiki/Law_of_large_numbers
Yes i know about the law of large numbers.
But in this case it s not a 60/40, a 10 % difference from a 50-50 strategy. It s actually a 50/50 as opposed to a 30/70, so it s 20%.

Jukebox
Posts: 1281
Joined: Thu Sep 06, 2012 8:07 pm

Sat Jun 27, 2020 11:11 pm

offlimit88 wrote:
Sat Jun 27, 2020 1:48 pm
Immagine.png
Hi, sorry for my english,i would like your opinion on this.
I am trying a new idea, i trade basically on stats. The problem with stats is that 1) Everyone knows them on average 2) You can 't be sure if stats will be similar in the future.
In this case i used some stats of 2018 and backtested on 3 months of 2019.

After 120 events, the market sets the probabilites of this event to occur in average 32 % of the time.
Based on my 1400 events research, my selections should give me a strike rate of 37%, so i'm quite sure i am into something.
Then why am i currently having a strike rate of 48%?

I developed a lot of strategies, those that start very promising usually even up at a certain point. What i am expecting here, is that the curve will begin to drop brutally, in order to match the probabilities. I want to clarify that my study is correct.

Let's say it is just good luck, did this ever happen to you? Could it be that there is something more in my selections that i'm currently not understanding?
How unusual was a run of 120 events like this in your stats?

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rik
Posts: 1008
Joined: Sat Jan 25, 2014 5:16 am
Location: London

Sat Jun 27, 2020 11:22 pm

offlimit88 wrote:
Sat Jun 27, 2020 1:48 pm
Immagine.png
What i am expecting here, is that the curve will begin to drop brutally, in order to match the probabilities. I want to clarify that my study is correct.
why would it drop brutally, it should flatten if your estimation of 37% is accurate, that its overperformed if at all it should make your expectation for future results better not worse
This is pre race horse racing?

jameegray1
Posts: 327
Joined: Wed Nov 21, 2018 6:16 pm

Sun Jun 28, 2020 2:14 am

Here is my latest "Think-I've-Cracked-It' automation. :roll:

500 markets in it was all roses. 1,000 markets in and it's a complete dog!

latest.PNG
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ShaunWhite
Posts: 6188
Joined: Sat Sep 03, 2016 3:42 am

Sun Jun 28, 2020 5:32 am

jameegray1 wrote:
Sun Jun 28, 2020 2:14 am
Here is my latest "Think-I've-Cracked-It' automation. :roll:

500 markets in it was all roses. 1,000 markets in and it's a complete dog!
Problem is James that charts are like fractals, you don't know what zoom level you're looking at. That dip might be almost invisble after a year, and you might not know what happened before it started. How does it look if you put a trendline on that? origin zero. I'm guessing it's still +ve.

offlimit88
Posts: 68
Joined: Mon Feb 25, 2019 2:29 pm

Sun Jun 28, 2020 10:06 am

Jukebox wrote:
Sat Jun 27, 2020 11:11 pm
offlimit88 wrote:
Sat Jun 27, 2020 1:48 pm
Immagine.png
Hi, sorry for my english,i would like your opinion on this.
I am trying a new idea, i trade basically on stats. The problem with stats is that 1) Everyone knows them on average 2) You can 't be sure if stats will be similar in the future.
In this case i used some stats of 2018 and backtested on 3 months of 2019.

After 120 events, the market sets the probabilites of this event to occur in average 32 % of the time.
Based on my 1400 events research, my selections should give me a strike rate of 37%, so i'm quite sure i am into something.
Then why am i currently having a strike rate of 48%?

I developed a lot of strategies, those that start very promising usually even up at a certain point. What i am expecting here, is that the curve will begin to drop brutally, in order to match the probabilities. I want to clarify that my study is correct.

Let's say it is just good luck, did this ever happen to you? Could it be that there is something more in my selections that i'm currently not understanding?
How unusual was a run of 120 events like this in your stats?
That's curious. In those 3 months my study shows a strike rate of 38/39% in that period, circa 300 event.
The only thing i can t backtest is the actual market price, i usually play above a certain price. So i did not play all those 300 events, just these 120.

offlimit88
Posts: 68
Joined: Mon Feb 25, 2019 2:29 pm

Sun Jun 28, 2020 10:40 am

jameegray1 wrote:
Sun Jun 28, 2020 2:14 am
Here is my latest "Think-I've-Cracked-It' automation. :roll:

500 markets in it was all roses. 1,000 markets in and it's a complete dog!


latest.PNG
Wow that's sick, is it tennis?
Anyway we are not talking about same percentages, as i understand from your picture. Did you backtest it?
If i take 200 of you events, there is always a major correction. I'm waiting for mine.

This one for instance, you can clearly see outperforming, and after 50 events, it comes the correction
Immagine3.png
rik wrote:
Sat Jun 27, 2020 11:22 pm

why would it drop brutally, it should flatten if your estimation of 37% is accurate, that its overperformed if at all it should make your expectation for future results better not worse
This is pre race horse racing?
Tennis. It shoud revert to the mean, but usually the faster you go up, the faster you go down, assuming it is outperformed.

First time i see a 30/70 strategy with this win ratio.
Immagine2.png
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