General Betting
There is currently 1 person viewing this thread.
30 Nov 10
23:41
Joined:
Date Joined:
24 Apr 08
I have been pricing up my own odds for a while now and have been using kelly staking on everything I've priced up, even when the edge is minimal. Recently though results have been less good particularly on those where the edge is small.
I've looked at my results and it seems I would get a lot better results if I had a minimum edge threshold. This would see me still making a lot of bets but only about a quarter of what I am now. I thought I'd be subject to greater variance making less bets but the results don't seem to indicate this.
My question is, mathematically what is the best way to decide on the threshold? Should it be a minimum kelly bet e.g. anything greater than 10% of bank, a minimum edge in terms of odds e.g. where my odds are 10% better or a 10% minimum edge in terms of percentage probability of winning e.g. team 60% likely to win and 50 probability offered?
Any ideas appreciated!
Thanks
I've looked at my results and it seems I would get a lot better results if I had a minimum edge threshold. This would see me still making a lot of bets but only about a quarter of what I am now. I thought I'd be subject to greater variance making less bets but the results don't seem to indicate this.
My question is, mathematically what is the best way to decide on the threshold? Should it be a minimum kelly bet e.g. anything greater than 10% of bank, a minimum edge in terms of odds e.g. where my odds are 10% better or a 10% minimum edge in terms of percentage probability of winning e.g. team 60% likely to win and 50 probability offered?
Any ideas appreciated!
Thanks
sort by:
Show
per page
Replies: 47
|
By:
At a glance it would suggest you're accuracy isn't as good as you think it is.
|
|
By:
your*
|
|
By:
Maybe, we'll see I guess.
I think the kelly formula has already taken into account both odds and percentage probability so a minimum kelly stake should cover everything thinking about it. Stupid question on reflection. |
|
By:
are you using full kelly?
|
|
By:
No not really because I split into many banks and do the full kelly on these.
|
|
By:
I have been pricing up my own odds
No need to do that, the bookies will do it for you. |
|
By:
I have a set maximum percentage per bet. Which I then apply kelly to. The issue with kelly is that small changes in estimation result in large swings in the corresponding stakes.
That is why you need to apply error bounds on your estimation and calculate the resultant stakes for estimate, estimate+error and estimate-error. This should tell you whether within your system error the bet is still a sensible one. |
|
By:
 |
|
By:
Thanks Zola, makes sense. I already had a max which accounted for aby rare mistakes but I think a minimum stake was require dto make sure I was getting value.
Looks good against past results so hopefully should improve profits in the future. |
|
By:
Seriously, I know Kelly is theoretically sound, but who honestly has a dedicated betting bankroll?
To phrase the question another way. Who would honestly stop betting if what they deem to be their betting bankroll is wiped out? |
|
By:
True RG, didn't quite think about it properly. However, to rephrase again, and I see you have made pretty much the same point. There is surely a stage for punters at which the bankroll has diminished to the extent that the punter is not satisfied by the suggested stakes and the majority in this position will increase their betting bankroll from other funds.
Am I right in saying Kelly assumes you know your edge? Haven't read up on it for a while as decided it wasn't for me. Always dangerous as, generally, the bigger your edge seems the more likely it is to be incorrect and I'm not sure that using 1/2 or 1/4 Kelly solves that particular problem. |
|
By:
some very good points there racingguru
|
|
By:
racingguru
Date Joined: 06 Jan 01 Add contact | Send message When: 02 Dec 10 17:59 Joined: Date Joined: 06 Jan 01 | Topic/replies: 270 | Blogger: racingguru's blog Further to that the problem that most people make with Kelly is that they don't have the bank size to bet to a level they feel is worthwhile ie: Kelly tells the bet to be much smaller than they would usually do so my advice to anyone thinking of starting to use Kelly is that wait till you have a bankroll 100x your normal bet size before starting. I see people are agreeing, I can't help but disagree. What you say is quite wrong actually, I found that Kelly advises too big a bankroll to risk in some circumstances, 10-20% of your current bankroll.I don't think professional gamblers can afford to risk such a large percentage of their bank. In my case I am not comfortable risking more than 1% of my bank at a given time, so I have to pass on Kelly. Not to mention, what happens if you use Kelly and you hit a losing streak of 4 bets, which is quite probable?People say "oh I'm only betting a percentage of my CURRENT bank so I can't go bankrupt" Let's assume the bets are "good value" and Kelly advises 20% of bank on each. Bank of 1000. First bet lost800 Second bet lost 640 Third bet lost 512 Fourth bet 409 Good luck reviving your gutted bank then. |
|
By:
bib - Have you actually attempted to use KELLY CALCULATOR for bets? I suspect not.
|
|
By:
Can Befair just pretend this thread doesn't exist before the stupidity contained within it causes the universe to be sucked in to a tiny ball?
|
|
By:
I don't believe bib has used KELLY...............
|
|
By:
my advice is to use triple kelly, basically you just work out the stake then triple it, thereby giving you 3 times as much profit as you would get under normal kelly
|
|
By:
I think the important thing about kelly is that you are staking higher on the picks where you have found most value and have the biggest edge. Some people do this naturally but a consistent approach backed up by stats is the ideal.
I have found that having your bank several times over and performing kelly to just one of these solves any problem of overstaking but still maximises profits. |
|
By:
Lori, do you use (a version of) Kelly?
|
|
By:
racingguru I am sorry I missed the previous post where you said you were using fractional Kelly. So what is the formula for Kelly/4 for example? Just use a quarter of what full Kelly suggests?
|
|
By:
what odds are you backing at to get 10-20%?
|
|
By:
Well I said I'm not using Kelly because it advises too high a percentage to risk, I haven't even tried it, sorry for my ignorance.
|
|
By:
No worries. Everyone starts off ignorant
 |
|
By:
So I went and did my homework on Kelly, I'm a math illiterate but I can see where it's going, it makes a fair point in that - where you think you have more value, the stake should increase accordingly. Bottom line, I agree that decimal Kelly can be useful for bettors that can accurately estimate the chances of a given outcome occurring.
I generally trade in play and there are so many variables during a (tennis) match that it's almost impossible to use Kelly, for instance I make some bets with view of trading out a couple of minutes later, or at pre defined odds. Then something can happen during the match and you have to scratch the trade or go all red, as I said too many variables. That's the reason why I generally use low stakes (1% of bank max) even in cases where I think I have a solid edge. Sorry for my bad English. |
|
By:
decimal Kelly = fractional Kelly
|
|
By:
My ignorance may shine through now, but maybe you can convince me otherwise, I do not use Kelly for the main reason: With sports betting how can anyone know what their true edge is? It isn't like a roll of a dice, the exact probability cannot be ascertained! You can look at your previous results and work out your edge over the bookie BUT this is the past and cannot be compared to the upcoming event. I suspect most Kelly advocates will look at their previous results to try and determine what their edge was and apply to future (which is what I disagree with)? Because of the inexact science of betting (btw - I am arguing all this from a position taker's perspective), people will then decide to use a fractional Kelly because they can't work out their edges correctly! Oh and while we are here we notice, we seem to be overstaking on horses with odds under 4 or the handicap chases so we will adjust again for these! All these changes end up transforming the Kelly into a non-Kelly, beast of a complicated staking mechanism.
|
|
By:
My ignorance may shine through now, but maybe somebody can convince me otherwise,
|
|
By:
It's true that in many cases you cannot ascertain the exact probability of an outcome but you do not need to be dead accurate. If your estimations are correct within a margin of 2-5 percent give or take, I think Kelly is still useful.
For example, I'm sure that if you know a little about soccer you can give a ballpark figure as to what Real Madrid's chances or winning tomorrow are. You could say" between 50% and 80%" but surely if you look at the relevant stats and analyze the match, you can come up with a more accurate estimation. Then make the same estimation for 100 matches let's say, and when you draw the line you can determine whether your estimations are correct, and when they are off, then by how much. That's the way I see it. |
|
By:
I suspect most Kelly advocates will look at their previous results to try and determine what their edge was and apply to future (which is what I disagree with)?
So... are you really saying you use no past knowledge of yopur previous performance in making future bets? |
|
By:
Because i very much doubt that. Unless of course you have alzheimers.
|
|
By:
Getafix Joined: 13 Jul 10
Replies: 26 03 Dec 10 21:21 My ignorance may shine through now, but maybe you can convince me otherwise, I do not use Kelly for the main reason: With sports betting how can anyone know what their true edge is? It isn't like a roll of a dice, the exact probability cannot be ascertained! You can look at your previous results and work out your edge over the bookie BUT this is the past and cannot be compared to the upcoming event. I suspect most Kelly advocates will look at their previous results to try and determine what their edge was and apply to future (which is what I disagree with)? Because of the inexact science of betting (btw - I am arguing all this from a position taker's perspective), people will then decide to use a fractional Kelly because they can't work out their edges correctly! Oh and while we are here we notice, we seem to be overstaking on horses with odds under 4 or the handicap chases so we will adjust again for these! All these changes end up transforming the Kelly into a non-Kelly, beast of a complicated staking mechanism =========================================================================================== |
|
By:
It isn't like a roll of a dice, the exact probability cannot be ascertained!
====================================================================================== A roll of a dice is gambling WITHOUT any "edge" ! |
|
By:
I agree that it is extremely "hard" to "know" what your "true edge is"................
However .......betting based on - 1.you believe you have an edge ....... 2. based on "value" on the odds ..... is surely far better than NOT! eg LEVEL- STAKING type bets............... |
|
By:
Kelly is bullsh1t!
|
|
By:
Thanks for responses, I was playing devil's advocate a little.
I don't have alzheimers lol, and yes I will use previous results to try and determine a stake size I am comfortable going forward in order to protect my bank. I am just not convinced by the use of Kelly in staking over say fixed/perc stakes/liab. In this thread and many others I have read, nobody ever uses full Kelly (for sports betting - position taking). The reason being their real edge cannot be determined. So what happens is people split up their strategies in order to apply Kelly i.e., use a x fractional kelly for say handicap chases but if odds only over 4, when one starts breaking down into sub categories this is actually proof of the flaws of kelly i.e., overstaking/understaking when one works out their edge wrong. Just to clarify a few points, I should have used a better example than rolling dice, I was thinking more from the perspective of a casino working out what odds they should offer - given that they would always offer a book over 100%. I.e., this is a situation where I think Kelly would be beneficial i.e., exact odds (and therefore exact edge) known before the event. I am not dismissing Kelly, just airing my views, in fact the reason I posted on this thread is because I would like to be proved wrong with my views on this. I would ask if any of you do analyse yearly what your pnl would have been had you staked using say percentage liability staking etc instead of Kelly? Though I suspect I know what the answer would be because I don't do post analysis. In fact I should! A job for next week. |
|
By:
even my 2nd example of casino is crap! I'm sure you can understand what I am trying to get at?
|
|
By:
What do Kelly advocates do when the price drifts? For example you place £100 @ 10 the price drifts to 20, do you top up the bet or stick to the original stake?
|
|
By:
Level stakes beats most staking plans but if you can accurately price up events kelly will optimise your returns. Most people who benefit from this will be those who produce statistical models where little or no human input has been involved on deciding the kelly stake.
This is because inevitably we all think that Barcelona are 1.01 against some cr4p and stake nearly full bank and they draw/lose. 2 important lessons here: 1) Having several banks or using fractional kelly is a MUST is sports betting as you say futur results odds can never be 100% accurate, even when helped by past data. 2) If you have the same opinion as almost everyone else then the odds are more than likely going to be too low on your selection and long term, a lay of that selection would be more benficial. Good luck! |
|
By:
What do Kelly advocates do when the price drifts?
Kelly determines the optimal proportion to stake given an independent estimate and an instantaneous price. If you take the current price, you apply the current kelly stake. If the price subsequently changes (and in most cases it will) this should have no bearing on your independent estimation. The question now is, is the new price still value given your unchanging independent estimation and do you want to place another bet It is simply a device to determine whether a bet at a particular instant in time is value - and if so how much to stake. This is one of the reasons why it beats level stakes. It is a sensitive measure and should only be used by those who understand it and their own system and their flaws. Kelly is an incredibly powerful weapon. Just don't point it at your own face. |