Final update:
Day 13... 19 trades today and I totally messed up.
The big drop was due to another stupid intervention on my part rather than the system... but the system can't possibly work if I can't make myself play by my own rules. So I'll go and think about my self-discipline (or lack thereof)...
Anyway, that's the public part of my experiment over with.
How long does it take to judge whether a system is working?
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Can't you automate it somehow? A system isn't really a system if there's discretion involved. At the same time if discretion is not require for it to work then in theory you should be able to convert it to a set of rules which you can try to automate?
Even if it needs a bit of configuration at the start of the day or whatever, if at least the execution can be automated then that would be worth it.
Even if it needs a bit of configuration at the start of the day or whatever, if at least the execution can be automated then that would be worth it.
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It was automated... but... that didn't stop me interferring. Even though the system was (mostly) producing a slight profit I couldn't stop myself from sometimes making manual interventions if I felt something was going against me. All of the biggest dips and biggest leaps in my graph were due to interventions. All of the small upwards and downwards movements were due to the automation doing what it should have done.xitian wrote: ↑Sun May 06, 2018 12:25 pmCan't you automate it somehow? A system isn't really a system if there's discretion involved. At the same time if discretion is not require for it to work then in theory you should be able to convert it to a set of rules which you can try to automate?
Even if it needs a bit of configuration at the start of the day or whatever, if at least the execution can be automated then that would be worth it.
The problem was with me rather than with the system. It's no big deal with a £10 bank but image how I'd have got on with a bigger bank that I actually cared about? More interventions and more significant losses, I think.
Anyway, over the last few days I've mostly been studying the movements of the markets and I think I've noticed another huge pitfall to my approach... the biggest flaw possible (one so big that I'm amazed I didn't spot it before) really so I'm rather glad I didn't persue this any further. I'm looking at the strengths and weaknesses of a totally different in-play idea now but just in the early stages of testing it.
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FrogThimble wrote: ↑Thu May 10, 2018 5:34 pmIt was automated... but... that didn't stop me interferring. Even though the system was (mostly) producing a slight profit I couldn't stop myself from sometimes making manual interventions if I felt something was going against me. All of the biggest dips and biggest leaps in my graph were due to interventions. All of the small upwards and downwards movements were due to the automation doing what it should have done.xitian wrote: ↑Sun May 06, 2018 12:25 pmCan't you automate it somehow? A system isn't really a system if there's discretion involved. At the same time if discretion is not require for it to work then in theory you should be able to convert it to a set of rules which you can try to automate?
Even if it needs a bit of configuration at the start of the day or whatever, if at least the execution can be automated then that would be worth it.
The problem was with me rather than with the system (up to a point... as the system itself has a major flaw that I spotted today). It's no big deal with a £10 bank but image how I'd have got on with a bigger bank that I actually cared about? More interventions and more significant losses, I think.
Anyway, over the last few days I've mostly been studying the movements of the markets and I think I've noticed another huge pitfall to my approach... (alluded to in my previous paragraph) the biggest flaw possible (one so big that I'm amazed I didn't spot it before) really so I'm rather glad I didn't persue this any further. I'm looking at the strengths and weaknesses of a totally different in-play idea now but just in the early stages of testing it.
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Apologies for duplicate posts above due to poor editing of my reply to xitian.
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I have been testing a straight betting strategy in practice mode for a while now so a few days ago I started running it for real on small stakes.
It had a bad day today which has got me worried.
I know you need to run these things for a long, long time to get a good big enough sample but when is the right time to stop and adjust some parameters or kill of the strategy?
And how large does the sample size need to be before making a judgement?
The strike rate is around 1in10 and I am staking by book % so how many races would be enough to draw some conclusions? Is there a formula for figuring the sample size out?
Hopefully someone can point me in the right direction
It had a bad day today which has got me worried.
I know you need to run these things for a long, long time to get a good big enough sample but when is the right time to stop and adjust some parameters or kill of the strategy?
And how large does the sample size need to be before making a judgement?
The strike rate is around 1in10 and I am staking by book % so how many races would be enough to draw some conclusions? Is there a formula for figuring the sample size out?
Hopefully someone can point me in the right direction
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Personally, if I was moving a strategy from practice mode to live, I would start my P/L records afresh, as it's very much a different ball game, and it goes without saying that a few days isn't enough (especially if it's a straight betting strategy), and risking small stakes is nothing to get worried about.dragontrades wrote: ↑Thu Jul 26, 2018 10:56 pm...so a few days ago I started running it for real on small stakes.
It had a bad day today which has got me worried.
In the absence of any obvious reason why practice mode would be an inappropriate testing platform (for example, large stakes) I think any strategy that succeeds in practice mode deserves a go in real mode, to small stakes.
If it helps I have run automation and seen returns of 10+% for 95 bets(punting system) over 2 weeks before seeing it all return to nothing in 4 days A trading system I have going now is doing 7% ROI over 32 trades (29% on exposure though) but I wouldn't be confident(after years of me trying this stuff) until I saw those returns over a much larger sample set(perhaps 1000 trades) but that's me -Not got a great maths brain
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The required sample size depends on how sure you want to be of an edge. Start recording the returns, and every time calculate the mean and standard deviation. Excel will do this for you. You will see that with more samples the standard deviation will tend to become lower: most returns will resemble the mean and you will have relatively fewer outliers. If you are aiming to be 95% sure of an edge, that translates to 2 standard deviations. If you deduct 2 standard deviations from the mean and this is a positive number then you can be 95% sure that you have an edge (a positive expectancy). This is under the assumption your returns are normally distributed, which they usually are. Unless you consider really long time periods where the market starts to change. If you only want to be 68% sure (that's one standard deviation) you deduct only 1 standard deviation from the mean. Of course for this you need much less samples. 3 standard deviations is like 99.7% and you will need a lot more samples for this.dragontrades wrote: ↑Thu Jul 26, 2018 10:56 pmThe strike rate is around 1in10 and I am staking by book % so how many races would be enough to draw some conclusions? Is there a formula for figuring the sample size out?
Hopefully someone can point me in the right direction
Note that you can never be 100% sure.
I'd add that you should cut the data in a number of different ways. I've found niches in very tiny cross sections of the market that if I lumped it all together would have just averaged out and lost due to the commission.mcgoo wrote: ↑Fri Jul 27, 2018 1:31 amIf it helps I have run automation and seen returns of 10+% for 95 bets(punting system) over 2 weeks before seeing it all return to nothing in 4 days A trading system I have going now is doing 7% ROI over 32 trades (29% on exposure though) but I wouldn't be confident(after years of me trying this stuff) until I saw those returns over a much larger sample set(perhaps 1000 trades) but that's me -Not got a great maths brain
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What is the best way to record the data of the races e.g price traded ranges and volumes?
Are there any sheets on the forum that are available? I am terrible with excel
Are there any sheets on the forum that are available? I am terrible with excel
There are several data capture sheets in the data sectiondragontrades wrote: ↑Fri Jul 27, 2018 1:30 pmWhat is the best way to record the data of the races e.g price traded ranges and volumes?
Are there any sheets on the forum that are available? I am terrible with excel
viewforum.php?f=54
Do you find these niches have longer term profitability or does the market spot the "hole" and/or revert to mean after a short period so you have to identify the next niche ? Or is that asking too much info
- Kafkaesque
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In terms of sample size and drawing conclusions, I would only deem it legitimate once it’s mathmatically sound, and you need such a big sample size to do so, that it isn’t really relevant, particularly at the price range you’re operating in, where the variance is going to be huge. I’ll be posting a potential formula in a minute in response to another post here. I say potential because apart from sharing, I’d love to have the math sanity-checked.dragontrades wrote: ↑Thu Jul 26, 2018 10:56 pmI have been testing a straight betting strategy in practice mode for a while now so a few days ago I started running it for real on small stakes.
It had a bad day today which has got me worried.
I know you need to run these things for a long, long time to get a good big enough sample but when is the right time to stop and adjust some parameters or kill of the strategy?
And how large does the sample size need to be before making a judgement?
The strike rate is around 1in10 and I am staking by book % so how many races would be enough to draw some conclusions? Is there a formula for figuring the sample size out?
Hopefully someone can point me in the right direction
As the next best thing to mathmatical certainty (or anywhere close to it), you’ll just have to do your best to dissect and analyse your spots as objectively as possible afterwards. With the goal being to try to determine, whether your net results – no matter if they’re positive or negative – are primarily the result of sound strategy or variance. Some things to consider: Did the market behave as you expected before and after you got in? Did the price at the off end up shorter or longer than the price you got? Did some freak occurence influence the end result? And anything else during the race which may suggest whether you were actually on to something or not pre. I’m not a horse racing trader, so that is most likely an incomplete list. How long or what sample size, before you can determine anything from that, is then imo a matter of how strong indicators you feel you get from the above, and how confident you are/were in the strategy in the first place.
I’d very much second Euler’s input. Subdivide your results in as many formats as you can possible think of. It’ll of course make the variance even greater, with the smaller sample for each subcategory, but it can very much open to specific spots where the strategy works best, among other things.