Trading What I see !?

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goat68
Posts: 2019
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Location: Hampshire, UK

Just calculated from my backtest program the bot's commission/netprofit %, and works out at about 5%. Which means if I was a PC payer i'd have to pay 15% tax, ouch!
I think I should take note of any breakeven commission generator bot's I come across :-)
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Realrocknrolla
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goat68 wrote:
Sun Apr 11, 2021 10:34 pm
Backtest over my complete dataset (3rdMar->11thApr) for the latest bot, here's hoping forward is the same!!:
BackT1.png
Not posted in a while but had a good read.

Looks promising.

Good luck 🤞
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goat68
Posts: 2019
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Location: Hampshire, UK

Realrocknrolla wrote:
Mon Apr 12, 2021 10:17 am
goat68 wrote:
Sun Apr 11, 2021 10:34 pm
Backtest over my complete dataset (3rdMar->11thApr) for the latest bot, here's hoping forward is the same!!:
BackT1.png
Not posted in a while but had a good read.

Looks promising.

Good luck 🤞
thanks, me too 🤞🤞🤞🤞🤞🤞🤞🤞
I do like the stairway PnL, sort of the theme of profitable PnLs i've seen whereby they chunder around a bit then have a big leap before chundering again...
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Trader724
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It depends on how many strategies are combined and how smart you make them work together. An ideal P&L has no noticeable drawdown. That's when you know you are a good trader.
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goat68
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Location: Hampshire, UK

Trader724 wrote:
Mon Apr 12, 2021 12:25 pm
It depends on how many strategies are combined and how smart you make them work together. An ideal P&L has no noticeable drawdown. That's when you know you are a good trader.
I think it depends on your type of strategy mainly as well, for example "swing" trading is more reliant on big wins, whereas "scalping" is lot's of small steps. My bot is a "swinger" !
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Trader724
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You need the mix of strike rate and average win / loss to be as diverse as possible over many strategies not just the one.
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ShaunWhite
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goat68 wrote:
Mon Apr 12, 2021 10:13 am
I think I should take note of any breakeven commission generator bot's I come across :-)
Don't forget to share those, a breakeven bot is a 0.1% tweak away from profit.
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ShaunWhite
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Trader724 wrote:
Mon Apr 12, 2021 12:25 pm
An ideal P&L has no noticeable drawdown. That's when you know you are a good trader.
No DD can indicate that you're playing it too safe and with no noticable DD you'll be paying hardly any commission. Ideally your bot needs to do plenty of losing too by letting it trade all the breakeven stuff at the edge of your curve. Remember you get credited with ½ of the commission on losers and ½ of the winning commission. On average I generate about 28% commission, which keeps me safely out of the PC zone and keeps their mitts off my net weekly.
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goat68
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Location: Hampshire, UK

ShaunWhite wrote:
Mon Apr 12, 2021 2:34 pm
Trader724 wrote:
Mon Apr 12, 2021 12:25 pm
An ideal P&L has no noticeable drawdown. That's when you know you are a good trader.
No DD can indicate that you're playing it too safe and with no noticable DD you'll be paying hardly any commission. Ideally your bot needs to do plenty of losing too by letting it trade all the breakeven stuff at the edge of your curve. Remember you get credited with ½ of the commission on losers and ½ of the winning commission. On average I generate about 28% commission, which keeps me safely out of the PC zone and keeps their mitts off my net weekly.
28% blimey!! that's impressive given i've just worked out my backtest was only 5%
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Trader724
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It depends on how advanced you are, as long as you have various strategies you can use them so as to minimize the overall drawdown and make the most of each one.
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napshnap
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ShaunWhite wrote:
Mon Apr 12, 2021 2:34 pm
Trader724 wrote:
Mon Apr 12, 2021 12:25 pm
An ideal P&L has no noticeable drawdown. That's when you know you are a good trader.
No DD can indicate that you're playing it too safe and with no noticable DD you'll be paying hardly any commission. Ideally your bot needs to do plenty of losing too by letting it trade all the breakeven stuff at the edge of your curve. Remember you get credited with ½ of the commission on losers and ½ of the winning commission. On average I generate about 28% commission, which keeps me safely out of the PC zone and keeps their mitts off my net weekly.
I don't get it, Shaun. Shouldn't you be paying additional 12% up to 40% (your 28% + 12%) of PC2? Or maybe I'm totally don't understand this PC2 concept (it may explain some things).
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ShaunWhite
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napshnap wrote:
Mon Apr 12, 2021 3:47 pm
I don't get it, Shaun. Shouldn't you be paying additional 12% up to 40% (your 28% + 12%) of PC2? Or maybe I'm totally don't understand this PC2 concept (it may explain some things).
I'm not at PC2, thats £¼m lifetime and I'm not there yet and like I said on the other thread I paid a lot of commission even before I broke even. Lifetime comm is still at over 40%
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goat68
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Location: Hampshire, UK

ok, after a bit of explanation please for some discrepancy I am seeing of my backtest offer fill algorithm compared with the live trading or a given market today, and I know this is an estimate but still, I can't explain this descrepancy:
So I was confused why according to the backtest of a market today my "fill&kill" £4 Lay order at best reverse price (5.5) was filled, but live trading it expired. From looking at the logging of the Queued and Traded money at 5.5:
Just after order placement the AlreadyTraded was £95 and Queued £431 at price 5.5. So if I make a worst case scenario since these values are log values from 1second after order placement, that my £4 is at the end of the £431 queue. It should thus mean the order will definitely be filled if Traded money at 5.5 exceeds £95+£431=£526, and that is what happened for my backtest about 30seconds later. However, live trading of this market the order expired at 1minute and was never matched. If I look at the traded amount at 1minute according to my log at it exceeds £750, so well in excess of £526.
What am I missing??
I've thought of several possible reasons:
1) My logging is wrong! I frequently get confused in Guardian for the Stored a value rule: So in this scenario i've placed a Lay order at best reverse price, so that money is "queued" behind the Current money available to Back at the current Best Back price? And also the money currently already Traded at that price is "The current Volume traded at the Best Back price"? Right???
2) My assumption that the worst case scenario for getting filled is "Already Traded" + "Queued ahead of me" at that price is wrong?
3) I do notice from the log several moments when there is a price "gap",ie.back=5.5, lay=5.7, this gap affects my numbers somehow..? The gap is 5.6 being taken by layers at that price. So can't see how that affect 5.5 orders?

Apologies if i've made that sound complex, probably cos i've miss-understood something.....?
thanks!
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goat68
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Location: Hampshire, UK

Ok, I think I may have figured why from reading this article: https://betangel.kayako.com/article/8-c ... ing-engine
So I am actually wondering in my example even though at price 5.5 on the given runner by the time my fill&kill expiry hit it exceeded my predicted "traded amount" that should have filled it, it's possible Befair's matching engine matched bets from other runners at 5.5 on this runner, and thus not consuming the "queued" amount directly on this runner. I guess that's what's called "cross matching"? So it makes it very difficult to thus predict in reality when the bet might be matched, even in the worst case scenario due to cross-matching...
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ShaunWhite
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Your data sample rate could be an issue. 1s is a lifetime and there could be 20 orders/fills/cancellations in that time even at prices above and below touch price. At peak times I'm getting a market change message about once every 17ms, 60 a second. That's the frequency of mains buzz !
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