Stop Losses, Efficient Markets and Outrageous Risk

[robsmith]

Hi Guys,

After a fair amount of work I have developed a pre-race trend following strategy that is returning positive results. The issue I have is managing the exits, particularly the stops.

I have read a lot of posts on the subject and was particularly interested in the posts by PeterLe on his tests showing - at least for that particular strategy - having no stop was most profitable. I also enjoyed Euler's blog post on the effect of backing at random then closing at post time.

Analysing the data from my strategy replicates PeterLe's findings: having a fixed stop of X ticks is less profitable than having no stop at all. However, by not having a stop there are some big losses that have a material effect on the overall profitability.

Can anyone offer any insight into how best to address this? I appreciate that you will want to keep strategies secret but any insight you could offer would be appreciated.

Thanks,

Rob

[LeTiss]

If you're going to run an automated strategy, but not have a stop loss, then your stakes need to be an amount you are prepared to lose, knowing the strategy is profitable in the long run

PeterLe seems to bag some very handsome wins when eveything clicks into place, so the losses he accrues in the meantime are worth it

I also have no stop losses on my automated strategies (I have made no secret to my hatred of stop losses on this forum) The problem with sports markets, especially 'In Play' is they become gappy, and that can be devastating when operating a stop loss

[jimibt]

The problem with sports markets, especially 'In Play' is they become gappy, and that can be devastating when operating a stop loss

I can't agree with this more. My initial strategies always had (what I imagined) to be a safeguard by having an offset stop in place. However, so many profitable trades were sabotaged due to the market oscillation and the stop would be triggered on what would have been perfectly good trades. Of course the flip side to this is that if you are watching this automation unfold, you risk browning out as much as redding out

You gorra have faith!! I now accept that the balance is there and that there will be the odd stake loss, but if you are applying a strategy that produces consistent results with a decent return, then trying to mitigate loss seems to be a futile pursuit in my experience. Go with the flow and find a happy balance.

[Euler]

It can vary depending on what you are trying to do in what market.

But lets imagine you get stop out of a position early in a trade sequence. You maybe have had multiple opportunties to fill at low risk for the remainder of the time if you left the trade open.

But there may be times when that opportunity is not present and therefore it does make sense to stop at that point.

But the market is full of the former and few of the latter.

[PeterLe]

Rob,
Heres the original post I did 6 years ago

viewtopic.php?f=2&t=2285

One thing I would add is whereever possible try and enter and close on the reverse side of the book, it would make a massive difference over the long term. Every try to green otherwise you lose money if you take the price on offer.
Doesnt sound much, but if you extract your bets from betfair matched bets and edit the date to see what you would have done had you entered/closed at the reverse you will see what I mean
regards
Peter

Just on that point of closing your tradeds..; what I tend to do on my automation is set up a rule that triggers say 15 secs out to try and close on the REVERSE side 3 or 4 times...if that doesnt get matched it closes at the current price 1 sec (one hinderence is that as far as Im aware, you cant specify use "net Stakes" in guardian automation?

[Crazyskier]

what I tend to do on my automation is set up a rule that triggers say 15 secs out to try and close on the REVERSE side 3 or 4 times...if that doesnt get matched it closes at the current price 1 sec

Same here. I resist EVER taking an offered price if I can help it. I do however allow around 5 or 6 separate attempts (at 5 second fill or kill each) to take reverse prices before the off, with a 5 second 'take available' if still not greened or redded up.

Also, I would echo LeTiss and Jimbit's comments about stop loss being for pre play, never IP.

[marko236]

You don't need to use lots of stops if you have a good staking plan it's one of the most important things to get right.

[robsmith]

Guys,

Apologies for the delay, I have been away. Thanks for all the input, it gives me a lot of food for thought.

Rob

[abhilashalal125]

Hi Rob,

Would you mind sharing your profitable strategy so that we can take a leaf out of your book :)

Much appreciated if you could help

Hi Guys,

After a fair amount of work I have developed a pre-race trend following strategy that is returning positive results. The issue I have is managing the exits, particularly the stops.

I have read a lot of posts on the subject and was particularly interested in the posts by PeterLe on his tests showing - at least for that particular strategy - having no stop was most profitable. I also enjoyed Euler's blog post on the effect of backing at random then closing at post time.

Analysing the data from my strategy replicates PeterLe's findings: having a fixed stop of X ticks is less profitable than having no stop at all. However, by not having a stop there are some big losses that have a material effect on the overall profitability.

Can anyone offer any insight into how best to address this? I appreciate that you will want to keep strategies secret but any insight you could offer would be appreciated.

Thanks,

Rob

[ricardodeano]

Hi Rob,

Would you mind sharing your profitable strategy so that we can take a leaf out of your book :)

Much appreciated if you could help

Yes please Rob that would be great.

Also, if it's not too much trouble, can you jot down your credit cards long number, expiry date and 3 digit security code? That'd be smashing.

[jimibt]

Hi Rob,

Would you mind sharing your profitable strategy so that we can take a leaf out of your book :)

Much appreciated if you could help

Yes please Rob that would be great.

Also, if it's not too much trouble, can you jot down your credit cards long number, expiry date and 3 digit security code? That'd be smashing.

rich - sometimes the full name as it appears on the card is required too!!