False edge? Am i fooled by variance?

[firlandsfarm]

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

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.

As usual Shaun is on the button.

I do most of my betting based on graphs and statistics. The shortcoming I see in the usual backtesting graph is that it assumes you started on a particular day. What if that was a 'lucky day'? I find it more informative to plot it in reverse so instead of running a total from old to new I run it from new to old because it tells me what the value today would have been for every starting day in the past and identifies if your backtest started on a lucky day.

For example, let's assume you backed every Home team so far in the Premier league this season at Max Odds according to football-data.co.uk (with thanks to them). Your accumulated return would be …

ForwardGraph.png

… a profit so far of c.20 points (note this is an 'accidental' profit and not a recommended system!). But, +20 points only if you started on the first day of the season, what about if you started it on a different day. If you are working on a new system, you could be starting it on any day in the season so this is where I like to see what I call the 'Backward' graph where the running total is run backwards to show the total had you started on any date …

BackwardGraph.png

… Now you can clearly see that the 'system' would have been profitable whenever you started, other than a few weeks each side of the lockdown period, at around 15 points.

Obviously you would usually backtest over a longer period, this is just to show the alternative way to view the data. Hope it helps.

[offlimit88]

Ok guys, i think we went a little bit off topic. I don t want to be right at all costs, but all these graphics you posted show a tiny edge with a lot of variability. Can anyone show me a strategy that is supposed to be 30-70 being 50-50 into a timeframe of 120 events? What are the odds of this? Just asking

[firlandsfarm]

Sorry if the input has not been very helpful offlimit88 but I'm not sure what you are asking for with "Can anyone show me a strategy that is supposed to be 30-70 being 50-50 into a timeframe of 120 events?"!

[offlimit88]

Sorry if the input has not been very helpful offlimit88 but I'm not sure what you are asking for with "Can anyone show me a strategy that is supposed to be 30-70 being 50-50 into a timeframe of 120 events?"!

If you toss a coin 120 times, what is the chance that you have 70% heads and 30% tails?

[Jukebox]

If you toss a coin 120 times, what is the chance that you have 70% heads and 30% tails?

A way to find out:
First set up a spreadsheet with the 1,329,227,995,784,915,872,903,807,060,280,344,576 different possible outcomes of 120 consecutive single coin tosses 'P' - then count up the number of of those outcomes that have exactly 84 heads 'n'. Then simply calculate n/P

[jimibt]

If you toss a coin 120 times, what is the chance that you have 70% heads and 30% tails?

A way to find out:
First set up a spreadsheet with the 1,329,227,995,784,915,872,903,807,060,280,344,576 different possible outcomes of 120 consecutive single coin tosses 'P' - then count up the number of of those outcomes that have exactly 84 heads 'n'. Then simply calculate n/P

OR... you could use statistical calculations (if you don't want to wait for excel 2050)

https://www.universalclass.com/articles ... tcomes.htm

[offlimit88]

Wow this is going to be interesting
Is there anyone smarter than me who can figure this calculation out?

[jimibt]

Wow this is going to be interesting
Is there anyone smarter than me who can figure this calculation out?

lol - if you read the article i linked, then the 2nd or 3rd worked example is almost exactly what you're after

https://www.universalclass.com/articles ... tcomes.htm

[ruthlessimon]

If you see an anomaly in the data then without a real world reason it's a prime candidate for reversion.

Hence why modelled strategies are powerful. If it works long-term (good sample) & the drawdowns are manageable, the real world reasons come for free.

https://financial-hacker.com/build-bett ... d-systems/

[ShaunWhite]

If you see an anomaly in the data then without a real world reason it's a prime candidate for reversion.

Hence why modelled strategies are powerful. If it works long-term (good sample) & the drawdowns are manageable, the real world reasons come for free.

https://financial-hacker.com/build-bett ... d-systems/

Nice link.
Perhaps if people spent as long learning about this stuff as they do reading TiTZ, they wouldn't need to read TiTZ. It's more related to another thread but top traders don't struggle with psychology, not because they're mastered their mind but because they've mastered their craft.

[ruthlessimon]

Perhaps if people spent as long learning about this stuff as they do reading TiTZ, they wouldn't need to read TiTZ

I thought that was a porn mag for a sec

[offlimit88]

I give up. Waiting for reversion
lol

[offlimit88]

If you see an anomaly in the data then without a real world reason it's a prime candidate for reversion.

Hence why modelled strategies are powerful. If it works long-term (good sample) & the drawdowns are manageable, the real world reasons come for free.

https://financial-hacker.com/build-bett ... d-systems/

Nice link.
Perhaps if people spent as long learning about this stuff as they do reading TiTZ, they wouldn't need to read TiTZ. It's more related to another thread but top traders don't struggle with psychology, not because they're mastered their mind but because they've mastered their craft.

Titz are two, easy math, i love titz

[jamesedwards]

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.

Reversion to mean can indeed be a bitch!

LOL. I've set it running again on lowest possible stake. Will keep you informed

Calling ShaunWhite. Can I stop it now?

latest v3.PNG

[gazuty]

If you toss a coin 120 times, what is the chance that you have 70% heads and 30% tails?

A way to find out:
First set up a spreadsheet with the 1,329,227,995,784,915,872,903,807,060,280,344,576 different possible outcomes of 120 consecutive single coin tosses 'P' - then count up the number of of those outcomes that have exactly 84 heads 'n'. Then simply calculate n/P

https://stattrek.com/online-calculator/binomial.aspx

Capture.PNG