Number Crunching After Capturing and Sorting.

[ShaunWhite]

Si, the saddest thing I saw recently was you saying you "need" Peter.

... Says the guy who applied for the "Day with Peter" competition

How else would I be able to install my keylogger?

[ruthlessimon]

Trying to get some idea of the timescale these pictures are representing. When you say 1500 "trades" do you mean markets or are these individual price movements you're latching on to ? What's the overall timescale the picture represents, is it a year, is it a week ?

The answer to that helps to answer if there may be an edge or not imho.

Individual price movements

Let's say I enter @ 2.5, & exit @ 2.0, that equals a trade. If I re-enter @ 1.95, & exit @ 1.90, that equals a trade. In that market, I've taken two trades. Therefore, those 2 trades become 2 data points on the x-axis.

The timescale I'm currently using is 3mths. Although what's good is that Sept isn't included atm (uncleaned) - which means it can be tested on unseen data - which I plan to do come tomorrow.

[LinusP]

Si, the saddest thing I saw recently was you saying you "need" Peter.

... Says the guy who applied for the "Day with Peter" competition

But yah like you say, it's about knowing if we're on the right track/advice for taking it to next level understanding

Start putting some money through the markets, that will teach you more than any number of backtests. There is such a fine line in being profitable that a profitable strategy on paper can fall to pieces when put live, pre-race and inplay.

https://www.betangel.com/blog/why-does- ... ou-use-it/

You have put up a few graphs but to me these are meaningless without knowing at high level what the strategy is doing, it looks like you are just overfitting.

Something I like to do is pick a variable / trigger which I believe to indicate predicted movement or the chance of wining and then graph it against the profit (variable on x axis). This quickly shows if there is a relationship and if my hypothesis has legs, if not rinse and repeat.

For example check out the graph below, I believed that a positive value should indicate that the horse is a value lay. Quickly graphing it confirmed this and that 4 as a trigger was a good place to start, I then confirmed it was valid with some out of sample data before putting it into action. This was only last week so I haven’t reviewed the results yet (normally leave it at least a month) but any bets placed will be far more valuable than any of the backtesting.

figure_1.png

[ruthlessimon]

You have put up a few graphs but to me these are meaningless without knowing at high level what the strategy is doing, it looks like you are just overfitting.

Something I like to do is pick a variable / trigger which I believe to indicate predicted movement or the chance of wining and then graph it against the profit (variable on x axis). This quickly shows if there is a relationship and if my hypothesis has legs, if not rinse and repeat.

Oh yes, I'm absolutely aware they're overfit - hence why I'm extremely cautious, & also hope to be a good example for some people that a solid looking equity curve cannot be called an edge.

But I'm coming at the problem from the perspective of an early Peter.

For example, if I don't know what a Maiden is, I can't build a hypothesis around how "I think" a Maiden should behave. Excel doesn't know what a novice stks race is - but if novice races generally contain "non-random" characteristics, Excel should find it. i.e. Momemtum strategies outperform on weak Novice races

This is what I believe my graphs show (but in a different (unknown) context) - which I'm trying to find out etc.

It's difficult to explain but I'd liken it to the following real physics problem.

Our current technology detected our galaxy isn't moving like it should. Something, is causing this anomaly - but we don't know what. Discover the what, we have real knowledge (https://en.wikipedia.org/wiki/Great_Attractor)

In the context of pre-race, Excel has detected an equity curve that isn't behaving like a random edge. Something is causing this anomaly - but we don't know what. Discover the what, we have real knowledge, & potentially a real edge.

The difference between the Great Attractor, & the pre-race example - Peter actually cracked it

Certainly a ramble that, apologies lads

[CallumPerry]

I think this thread, if nothing else, just shows how everyone approaches their research in different ways. I feel confident with what I'm doing behind the scenes and I think that in itself is the beginning of finding an edge. I've done plenty of reading (and still do each day) but I'm starting to take that information and do something with it that hopefully nobody else is. It's not revolutionary and some others may be doing (have been the last 10+ years) exactly the same but honestly I'm enjoying myself so what's the problem. I come home from work and do a bit of researching, tweaking spreadsheets, coming up with ideas etc and I compare it to how others sit down and play sudoku for a few hours. It's not about the money, it's become a Maths based hobby that hopefully one day will change my life and allow me to do wonderful things.

I feel like I'm at the stage where I'm close and that's exciting but also, I've covered all the basics. There's not much intermediate/advanced betting exchange information that's relevant for what I'm trying to do that is easily accessible on the internet (hopefully that means I'm not developing an off the shelf type of system). So it's hard to escape the beginner band but reading what some of the successful traders on this forum divulge really helps! Please keep sharing any useful tips for number crunching, interpreting, developing and deploying. It's helping!

[ruthlessimon]

I'm starting to take that information and do something with it that hopefully nobody else is.

I've gotta try & find the vid, but I did note down the trader's exact words:

"The edge we have, & the reason I've been trading 30 yrs, is because everybody else thinks they know what they're doing"

It's a bold statement - but I think certainly can't be ruled out for explaining why some edges simply don't erode (although it's a bit of a paradox!!)

[foxwood]

Linus gave you a practical example of how he identifies and explores a strategy based on analysis of the data.

Have you tried doing something similar and put money in the market to understand how theory and reality sometimes blend and other times conflict ?

Do that, then analyse the results and think about why some worked and others didn't.

Either then adjust and try again with a modified version or abandon that idea and move on to the next one.

Simples - perpetual rinse and repeat of ideas.

[ruthlessimon]

Absolutely yus, I'll keep ya posted as the days go by - hopefully, it'll serve as a great case study for all

[ruthlessimon]

Anyone remember doing transformations in maths??

90degree rotation?

[ruthlessimon]

I think incorporating volume into any strategy is absolutely worth doing - the problem is - when we do - it becomes almost a multidimensional problem.

For example, how do we define "low volume". Here are a couple of factors I can think of:

1. Low volume in winter, is different to low volume in summer
2. Low volume @ 5mins, is different to low volume @ 1mins
3. Low volume @ 1.50, is different to low volume @ 15
4. Low volume @ Lingers, is different to low volume @ Chelt
5. Does low lay volume, behave differently to low back volume

What an effin nightmare

A traditional hypothesis would be low volume suggests lack of conviction - suggesting a propensity for mean-reversion - problem is my gut says it's not quite that straightforward when it comes to pre-race (i.e. that would bias mean-reversion to occurring before the liveshow - considering volume is far lower hrs prior)

Perhaps the best way to gauge the importance of each variable - is to simply build a strategy around each concept (i.e. backfitted to time, backfitted to course, backfitted to price), then see how they compare over a week/month of forward trading

[ruthlessimon]

Here's my first backfit of "expected" volume @ 5mins (fav only).



Exponential(ish), but highlights a £1000 stake @ 10, is gonna have a much larger impact than in the 1.xx region

It's slightly tricky to know the optimal points to slice the data. An optimal figure for each price seems OTT, but groupings will lead to the strategy being misfit at the edges

[CallumPerry]

That last graph is really interesting, will sleep on what conclusions to draw from it in the morning. I agree that volume should DEFINITELY be considered. Maybe break it down to each sort of race on each course and look at the rate of money hitting the market. Could be a very useful indicator to include amongst others. If X, Y and Z are doing this and volume is high for 2 minutes out on a so so course in Wolverhampton in September then it shows signs of strength.

[ShaunWhite]

a £1000 stake @ 10, is gonna have a much larger impact than in the 1.xx region.

I guess you didn't read my pm where I mentioned the idea of implied volume (prob not its real name, I made it up). That, or similar will remove that distortion.

I don't think low volume means lack of conviction. I think it just means there's so much racing that your average hard up punter can't afford to be spunking money on 150 races a week and picks what's decent to be interested in.

Take footy. Is there less 'conviction' in the outcome of a Vanerama match than a Premiership one? Where's the volume go? Gambling is a light entertainment industry, punters expect some entertainment. They don't make money from it so what's their motivation? What they do is add a little extra spice to something they already enjoy. Having £200 on a crap race is like rolling a turd in glitter, it's still just a turd. But put £200 on the group 1 race and it's a much more appealing package.

You seem to be posting a lot of positive edge charts lately. Are you sure they're all take strategies? I wouldn't trust anything in excel that needed offers.

[ruthlessimon]

I agree that volume should DEFINITELY be considered. Maybe break it down to each sort of race on each course and look at the rate of money hitting the market. Could be a very useful indicator to include amongst others.

Certainly but the following table highlights the issue of ordering by race type:



Before I even test it, I can predict right now: -

Hcap favs will have done less volume than Nov Stks faves @ 5mins.

Not via magic; but simply because Nov Stks generally have a short fav

& again race course will be biased depending on how many shorties there are. Therefore I'll make a 2nd prediction: -

There will be a correlation between course volume @ 5mins & the average price of the fav @ 5mins

[ShaunWhite]

Here's one your spreadsheet won't like..... Volume is subjective.

It's at the mercy of the weather, clashing events, prevailing economic confidence, time of the day or year, price of the favourite etc. And maybe a small amount of confidence in a given horse. But how that relates to predicting a market move other than the obvious likely increased volatility, is speculation from what I can see.