|
By:
Thanks for the replies - all very helpful.
So it seems to me that one or more of a number of things could be happening here as follows: 1. I didn't have an edge in the first place, my back testing sample wasn't large enough, and/or the underpinning logic of the system wasn't sound. 2. The edge is still there, but I've just experienced a probabalistic losing streak. 3. Conditions have changed (weather, AW tracks etc). 4. The market has changed for some other reason (new entrants with new systems, or old entrants withdrawing their systems). Following TJM's excellent suggestion, I've done a simple excel Monte Carlo simulation, which to me pretty conclusively shows that this can't be a probabalistic losing streak. With a simulation set of 10,000 races the largest draw down I found over 500 simulations was 38 points, when I've just experienced 79 points (using 53.3% strike rate, 1:0.9 win:loss ratio). Although, some might say more simulations are required this to me shows that the probability of it being a probabalistic losing streak is very very small. The simulation also showed me (I think) that for my strike rate and win:loss ratio between 1,000 and 2,000 races should be enough to verify the edge. So I'm left with, did I have an edge in the first place, or what's changed? I'm as sure as I can be that I did have an edge - the unlying logic was sound, and I repeatedly tested and analysed it with a testing sample set of over 10,000 races. The results, up until the downturn, pretty much matched the anticipated results from the testing. I looked at the performance both in test and in live for AW. I've known from previous analysis that AW, although profitable, does not perform as well, but certainy not as badly as I've just experienced. What was interesting was I looked at the last two January periods and also the floods - and historically these have definitely been the systems weakest. So could it be that the weather really is to blame, and maybe when the weather is bad and there is little in the way of racing, the exchange changes its characteristics? As recommended I'm reducing the stakes and hanging in there - the last three days appear a lot more "normal". |
|
By:
Thanks for the replies - all very helpful.
So it seems to me that one or more of a number of things could be happening here as follows: 1. I didn't have an edge in the first place, my back testing sample wasn't large enough, and/or the underpinning logic of the system wasn't sound. 2. The edge is still there, but I've just experienced a probabalistic losing streak. 3. Conditions have changed (weather, AW tracks etc). 4. The market has changed for some other reason (new entrants with new systems, or old entrants withdrawing their systems). Following TJM's excellent suggestion, I've done a simple excel Monte Carlo simulation, which to me pretty conclusively shows that this can't be a probabalistic losing streak. With a simulation set of 10,000 races the largest draw down I found over 500 simulations was 38 points, when I've just experienced 79 points (using 53.3% strike rate, 1:0.9 win:loss ratio). Although, some might say more simulations are required this to me shows that the probability of it being a probabalistic losing streak is very very small. The simulation also showed me (I think) that for my strike rate and win:loss ratio between 1,000 and 2,000 races should be enough to verify the edge. So I'm left with, did I have an edge in the first place, or what's changed? I'm as sure as I can be that I did have an edge - the unlying logic was sound, and I repeatedly tested and analysed it with a testing sample set of over 10,000 races. The results, up until the downturn, pretty much matched the anticipated results from the testing. I looked at the performance both in test and in live for AW. I've known from previous analysis that AW, although profitable, does not perform as well, but certainy not as badly as I've just experienced. What was interesting was I looked at the last two January periods and also the floods - and historically these have definitely been the systems weakest. So could it be that the weather really is to blame, and maybe when the weather is bad and there is little in the way of racing, the exchange changes its characteristics? As recommended I'm reducing the stakes and hanging in there - the last three days appear a lot more "normal". |
|
By:
Well done, sound analysis, and well worth bearing in mind the implications of bad weather and cancelled meetings for the future
|
|
By:
I have found my edge significantly diminished since september last year. It first started creaking in june following a long period of stability. Can't really explain it. It could be seasonal factors but these have not had an impact before. More likely just the fact that the markets change over time - people with new strategies etc.
|