Trading Horse racing : Am I fooling myself?

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boony
Posts: 6
Joined: Mon Nov 07, 2016 8:53 pm

Sat Sep 15, 2018 2:54 am

Hi

I've been back-testing a strategy and it is showing a profit over the ~3300 races I've tested so far. However, the equity curve is "choppy" to say the least. If I filter out a particular set of courses it looks a lot better (see graph).

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The problem I have is that I only knew which courses to filter out AFTER running the back-test. Is this legit? I can't help but think I've fallen into some mathematical/statistical trap by doing this and am fooling myself by using after-the-event information.

Any feedback much appreciated.

Cheers
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gazuty
Posts: 1038
Joined: Sun Jun 26, 2011 11:03 am

Sat Sep 15, 2018 7:29 am

Completely legit.

As the saying goes, horses for courses and I would think bots for events. I use different bots for different courses and would also consider it legit to filter out courses.

spreadbetting
Posts: 1690
Joined: Sun Jan 31, 2010 8:06 pm

Sat Sep 15, 2018 2:44 pm

When you're 'backtesting' a system they'll always be an element of backfitting, so you'll always be able to boost the bottom line by filtering out certain variables. If you can figure out a reasonable explanation as to why removing those courses increases your profits then you've probably found a worthwhile filter to add.

None of us know what you're doing so can't second guess for you but like gazuty says it's horses for courses, certain courses will always play out better for different strategies because they have short runs ins etc

PeterLe
Posts: 3345
Joined: Wed Apr 15, 2009 3:19 pm

Sat Sep 15, 2018 2:55 pm

The only thing I would add is; if you do amend your criteria, don't dismiss it forever.
I determined many years ago (based on a large sample set) that Wolverhampton (amongst a few others) was a negative course for me, so I set the bots to miss these out.
Much later I tried these courses again, only to find that Wolverhampton turned in some massive results. My only regret was that I hadn't tested them frequently, albeit for smaller stakes.
Regards
Peter

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ruthlessimon
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Joined: Wed Mar 23, 2016 3:54 pm

Sat Sep 15, 2018 4:51 pm

PeterLe wrote:
Sat Sep 15, 2018 2:55 pm
I determined many years ago (based on a large sample set) that Wolverhampton (amongst a few others) was a negative course for me, so I set the bots to miss these out.

Much later I tried these courses again, only to find that Wolverhampton turned in some massive results. My only regret was that I hadn't tested them frequently, albeit for smaller stakes.
Isn't that a bit of a contradiction Pete? (i.e. basically your original sample wasn't big enough)

Out of interest, was the sample size different (smaller) when you tested Wolves a second time? Or was this retested on the full data set (i.e. combined with the data that suggested Wolves wasn't very good)?

& did you find a reason for the change in fortune @ Wolves?

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ruthlessimon
Posts: 1359
Joined: Wed Mar 23, 2016 3:54 pm

Sat Sep 15, 2018 5:14 pm

boony wrote:
Sat Sep 15, 2018 2:54 am
I've been back-testing a strategy and it is showing a profit over the ~3300 races I've tested so far. However, the equity curve is "choppy" to say the least. If I filter out a particular set of courses it looks a lot better (see graph).
Is there data missing from the "everything" line?

Whenever I filter a variable (i.e.course), I always see a drop in frequency - so I'm interested in how you've got them to both match

PeterLe
Posts: 3345
Joined: Wed Apr 15, 2009 3:19 pm

Sat Sep 15, 2018 5:16 pm

ruthlessimon wrote:
Sat Sep 15, 2018 4:51 pm
PeterLe wrote:
Sat Sep 15, 2018 2:55 pm
I determined many years ago (based on a large sample set) that Wolverhampton (amongst a few others) was a negative course for me, so I set the bots to miss these out.

Much later I tried these courses again, only to find that Wolverhampton turned in some massive results. My only regret was that I hadn't tested them frequently, albeit for smaller stakes.
Isn't that a bit of a contradiction Pete? (i.e. basically your original sample wasn't big enough)

Out of interest, was the sample size different (smaller) when you tested Wolves a second time? Or was this retested on the full data set (i.e. combined with the data that suggested Wolves wasn't very good)?
Hi Simon, no not a contradiction, the initial sample set was high not low.
I understand what you are saying though, if I had carried on for longer it would have turned a corner.
At the time There were a lot of track side traders at wolvs ( in the adjacent hotel) who were cleaning up, I don’t recall when their advantage stopped though?
Just in my 11 year on Betfair and I probably missed wolves out for a couple of years mid way through. At the moment I still trade on wolves (all on auto) so the sample size is still ongoing
Regards
Peter

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ruthlessimon
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Joined: Wed Mar 23, 2016 3:54 pm

Sat Sep 15, 2018 5:23 pm

PeterLe wrote:
Sat Sep 15, 2018 5:16 pm
I understand what you are saying though, if I had carried on for longer it would have turned a corner.
At the time There were a lot of track side traders at wolvs ( in the adjacent hotel) who were cleaning up
Fair enough yeah that makes sense :)

It's a question I've always had regarding my own data, whether it's worth weighting the newer data - to spot changes like Wolves quicker; because a full set will be slow to change. But balancing this between recency bias is a total nightmare!

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ruthlessimon
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Joined: Wed Mar 23, 2016 3:54 pm

Sat Sep 15, 2018 5:48 pm

Here's an old strategy of mine - unfortunately (unlike SB & Peter), I couldn't think up a reason for the outperformance, so this got put on the back burner

I filtered it by the price of the fav (only 1, 2, 3 - hence why they won't add up to the full set)

I probably could've/should've equally started a similar thread ;) (both in the same boat!)

Image

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northbound
Posts: 512
Joined: Mon Mar 20, 2017 11:22 pm

Sat Sep 15, 2018 5:59 pm

boony wrote:
Sat Sep 15, 2018 2:54 am
If I filter out a particular set of courses it looks a lot better (see graph).
I experienced something similar lately.

Been playing with greyhound racing data, found a couple of straight backing strategies which were profitable every single month since May. At the same time, every single month they were unprofitable at Newcastle.

So, you might be onto something there. Not sure how this is going to pan out long term though, both for your strategy and mine. Also, something which has been profitable so far has no guarantee of being profitable in the future: market participants might change over time.

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