Strategy Development: Modelling

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ruthlessimon
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PeterLe wrote:
Wed Jun 20, 2018 11:01 am
Yep agree - check out https://en.wikipedia.org/wiki/Occam%27s_razor
So you don't think they'd be value in understanding the influence of:

1. The speed of the move (mean-reversion)
2. Compression prior to the move (momentum)

Now testing those two aspects quantitatively is a bit of a nightmare. I honestly think only a handful would have any sort of (accurate) figures along those lines (i.e. If this runner has been tight for 100 seconds & it breaks, what happens across the market?)

That's my idea of hedging basic knowledge.
PeterLe
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ruthlessimon wrote:
Wed Jun 20, 2018 4:46 pm
LinusP wrote:
Wed Jun 20, 2018 6:21 am
I find the opposite is true.
Here was my reasoning:

If there are thousands of people walking down a path, & there's £20 lying on the floor - it took no skill to get that £20, & was simply a case of you being the first to spot it. (That's where I feel I am - deploy a random strategy, find something half decent, now what :) ). I don't think it's sustainable - I wish it was.

However, if the £20 is tucked just under a manhole, people can see it - but it's gonna take someone dedicated, with the right skills to get that £20. Also, that person will always be able to get money out of manholes til they die
Sorry Simon, I haven't read the full thread..

I hope Liam won't mind me answering this..
Taking the £20 down a manhole scenario..(Many people can see the money, the majority know its there)..
There maybe many possible ways to retrieve the £20, the most elaborate may be recruiting a team of engineers; roadworkers and JCB's. Surrounding the area off (with a statement of work and safety assessment in hand). Digging the area and carefully collecting the money.
A simpler method may involve a large bamboo stick, with a piece of chewing gum on the end and 20 seconds work, quickly moving on to the next manhole.
Both have the same end result, but the least complicated method is always the preferred.
Over the years I come to learn that the most simplest methods work well on betfair
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ShaunWhite
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ruthlessimon wrote:
Wed Jun 20, 2018 4:57 pm
Now testing those two aspects quantitatively is a bit of a nightmare. I honestly think only a handful would have any sort of (accurate) figures along those lines (i.e. If this runner has been tight for 100 seconds & it breaks, what happens across the market?)

That's my idea of hedging basic knowledge.
Nothing wrong with additional understanding and refinement.
Just so long as it doesn't introduce so many moving parts that your mechanism becomes faultly and you're perming 8 from 10 cogs to find out what part is squeaking. (sorry, I'm in shed mode, wife's away till Sat so i'm funning myself to death with non-stop Excel, metalwork & pizzas :) )
LinusP
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ruthlessimon wrote:
Wed Jun 20, 2018 4:46 pm
LinusP wrote:
Wed Jun 20, 2018 6:21 am
I find the opposite is true.
Here was my reasoning:

If there are thousands of people walking down a path, & there's £20 lying on the floor - it took no skill to get that £20, & was simply a case of you being the first to spot it. (That's where I feel I am - deploy a random strategy, find something half decent, now what :) ). I don't think it's sustainable - I wish it was.

However, if the £20 is tucked just under a manhole, people can see it - but it's gonna take someone dedicated, with the right skills to get that £20. Also, that person will always be able to get money out of manholes til they die
The £20 is lying on the floor because someone dropped it, the chances are that the £20 under the manhole occurred due to multiple factors (people / forces) and it only takes one of those factors to change for that £20 to be down the sewer.

I get nervous when I start having more than 2/3 variables in a strategy as I know how delicate the market can be. If you have profitable complex strategies then stick with them but you will find that many long time pros on here don’t.

(Wrote the above before seeing Peter’s reply)
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ShaunWhite
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PeterLe wrote:
Wed Jun 20, 2018 5:06 pm
Both have the same end result, but the least complicated method is always the preferred.
Over the years I come to learn that the most simplest methods work well on betfair
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spreadbetting
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ruthlessimon wrote:
Wed Jun 20, 2018 4:46 pm

Here was my reasoning:

If there are thousands of people walking down a path, & there's £20 lying on the floor - it took no skill to get that £20, & was simply a case of you being the first to spot it. (That's where I feel I am - deploy a random strategy, find something half decent, now what :) ). I don't think it's sustainable - I wish it was.
On Betfair it's not neccessarily even being the first to spot it, just being the first to bend down and pick it up usually works fine.

I've always thought this Simpsons clip is quite apt when it comes to Betfair

https://www.youtube.com/watch?v=yR1QL7CJltQ
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northbound
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spreadbetting wrote:
Wed Jun 20, 2018 6:24 pm
On Betfair it's not neccessarily even being the first to spot it, just being the first to bend down and pick it up usually works fine.
Perhaps once I’ll manage to get out of this “break even grind of death”, I’ll agree with you.

So far, almost all of my strategies tend to revert to the mean in the long term.
spreadbetting
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If you've managed to break even after commission you must be doing something right, all you need to do now is figure what you're doing that's making money and the reason why it's making you money.

All I was trying to imply with the simpsons video is that the "sharp minds" tagline is just a load of spin. There may well be a lot of "sharp minds" on Betfair but thankfully there's plenty more thick minds who continually litter the site with more money than the sharp minds can pick up, especially if they're waiting for another 5 conditions to be met before going in.
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northbound
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spreadbetting wrote:
Wed Jun 20, 2018 7:26 pm
If you've managed to break even after commission you must be doing something right, all you need to do now is figure what you're doing that's making money and the reason why it's making you money.
That's the tough part.

If I may ask, how often do you have to ditch winning strategies (proven over hundreds of trades) because they start reverting to the mean (over the next few hundred of trades)?
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Euler
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ShaunWhite wrote:
Wed Jun 20, 2018 5:08 pm
(sorry, I'm in shed mode, wife's away till Sat so i'm funning myself to death with non-stop Excel, metalwork & pizzas :) )
Comment of the week
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ruthlessimon
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PeterLe wrote:
Wed Jun 20, 2018 5:06 pm
There maybe many possible ways to retrieve the £20, the most elaborate may be recruiting a team of engineers; roadworkers and JCB's. Surrounding the area off (with a statement of work and safety assessment in hand). Digging the area and carefully collecting the money.
A simpler method may involve a large bamboo stick, with a piece of chewing gum on the end and 20 seconds work, quickly moving on to the next manhole.
That's more than just a decent analogy, next time I see some money down an actual manhole I'll probably use your chewing gum method :lol:

But yeah, I'd call that genius, flair, talent - to be able to spot ways to "remove the red tape" of a strategy/process. Having that sort of initiative is something I try to improve daily
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Euler
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Location: Bet Angel HQ

Got to say, this is a great thread and a lot of the comments from a number of posters echo my thoughts exactly. You would be surprised how reckless the market is at leaving money on the table. I quite like chaotic markets because when people are running around like headless chickens I'm just sat there dodging the oncoming traffic and picking up the litter they leave behind.
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ShaunWhite
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I'll file that in the If you can keep your head when all about you are losing theirs.... chapter.

Thanks for contributing, especially while you're busier than a five dollar hooker. Every sentence really does get all the attention of another fragment of Rosetta stone by your tifosi as you can probably tell.
spreadbetting
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northbound wrote:
Wed Jun 20, 2018 7:56 pm
spreadbetting wrote:
Wed Jun 20, 2018 7:26 pm
If you've managed to break even after commission you must be doing something right, all you need to do now is figure what you're doing that's making money and the reason why it's making you money.
That's the tough part.

If I may ask, how often do you have to ditch winning strategies (proven over hundreds of trades) because they start reverting to the mean (over the next few hundred of trades)?
I'm the wrong person to ask , I wouldn't have a clue where my mean even started from to be honest. My approach is more based on looking for value than looking for patterns. Like I said earlier in the thread, it's easy to backfit winning strategies by looking thru old data but they rarely hold up in real life though.
stueytrader
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In my past life (mostly as a punter not trader) I have used regression models for sports such as football goals markets.

Exactly the point above though: the past does not always (enough) predict the future, that's the massive issue. Plus, it's already factored by others who did the same analysis as you.

Seems the secret is to only analyse those factors or areas that others have less interest in, but then they can become weak factors to use.....
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