Saturday, 24 October 2015

Trading Superman

The much respected Betfair Forumite Investor stopped by to comment on my Measuring Up - Is This Just Fantasy? post. 

The problem with PnL/hour for me as a useful metric for my own trading is that my PnL is extremely dependent on liquidity. So if Betfair bet volume doubled or halved it would massively affect my PnL given no change in skill (relative to other traders). I know my average margin is x% and it is fairly steady across bands of liquidity, so given expected turnover of y, I can work out what I expect a football match is worth to me. So I use it more before trading than looking at it after the fact.
As for avg win size vs average loss size, it probably will be the case that the best traders have a good ratio (I remember something like this being mentioned in market wizards as well), but it won't hold true all the time.
My favourite measures are margin on turnover (normalised to make a £100 back at 1.1 and a £10 lay at 11 equivalent), and share of market matched.
I'm not familiar with Market Wizards, but I'd like to see the article or thread. I did come across these words from Peter L Brandt while looking around for it:
I was mentored by a man with something like a 75/25 ratio whose average profit was substantially higher than his average loss. This man was a trading superman, a genius, a one-in-a-million. Few people are born with such a gift from above. 
Sounds to me like Mr. Brandt is talking about Investor himself! He IS the Messiah!

Profitably trading on football has proven to be a very tough proposition, and I tip my hat to the likes of Investor who have shown themselves capable of doing this. Somehow, I doubt this has been achieved by looking at head-to-head results from several years ago, or looking for patterns in goal minutes.

Measuring margin on turnover or share of market matched are certainly other ways of measuring proficiency, although they both require additional record keeping. As a casual part-timer, it's really just academic anyway, with no real benefit to me for keeping more records. After 10+ years, I have a good feel for my strengths and weaknesses, and what events are worth my time, which is why I'm becoming a big fan of simplification these days. After all, there are two ways to increase ones PnL/hour - either increase profits or reduce the time spent. With the Premium Charge, not just nibbling away at, but taking great chunks out of profits, it's far easier to be more selective about the events to trade and reduce the 'hours' side of the equation.

On the topic of simplification, the UMPO system is about as simple as it gets, and heading into the World Series, it is in profit by 1.87 points (and more importantly with an ROI of 6.45%).
The World Series starts on Tuesday night, and is between last season's runner-up Kansas City Royals and the New York Mets, who are in their first World Series since 2000. There is no clear favourite, with the Royals having home 'advantage' in the best-of-seven series.
For Trivia buffs, this is the first World Series between two expansion teams. Strangely, for a "World" competition, it is once again two US teams competing.
"Simple can be harder than complex: You have to work hard to get your thinking clean to make it simple. But it’s worth it in the end because once you get there, you can move mountains.” ― Steve Jobs


Sheva Wigwam said...

Market Wizards is a series of books written by Jack Schwager, in which he interviews traders regarding their experiences and philosophies. Well worth a read.

The Investor said...

Thanks for the kind words haha.
You're right, I don't look at (old) head to head stats.

As for goal minutes, nothing beyond incorporating the fact that expected goals tend to rise over time in play. If there have been a lot of goals in the 17th minute of the EPL this season, I wouldn't treat that as something interesting for betting purposes.

If I wanted to increase winnings p/h I would only do the best EPL, CL and international games, or even better, only run bots!