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Approaching Half Way In New Model Test

I am currently testing a new model to add to my trading portfolio. The test consists of 100 trades at a minimal trade size of £2 to see how it matches the model optimised by a genetic algorithm

You may ask why I am not testing this on paper. The reason being that I am running new code that needs to be tested live and the kind of trading I do is very precise and paper trading does not replicate the same live trading conditions.

Already I have made a few changes. The optimisation suggested a profit take whenever a trade makes 25% yield but I have toned this down to 20%. The stop loss is fine as is. I changed some of the code to keep me better informed but essentially it is similar to the code in Programming for Betfair

This is a hybrid trading model whereby the program analyses all the days races at the same time and flags runners that fit the entry criteria for a trade. A human trader then trades the runner with his discretion in play. At no time is the trader permitted to trade below the limits set by the algorithm. There are some things that computers can't do and there are things that humans can't do either. This method utilises the skills of both.

A few figures from the test...

Average win per £1 traded = 0.15
Average loss per £1 traded = 0.10

Strike Rate = 0.68

Longest Losing Streak = 3 trades (model says 5 over a larger period)

Edge per £1 traded = (0.68 * 0.15) - ((1-0.68) * 0.10) = 0.13 (i.e. 13p per £1 bet)

Total % Yield = 6.25%

Average Daily % Yield = 6.55%

Daily Sharpe Ratio = 1.78 (In other words my reward is greater than the risk taken on.)

I have begun to increase the trade size slightly so that I can experiment with gradually entering money into the market or taking it out. The minimum £2 trade is to reduce risk whilst testing a new model and new code that can accommodate the new model but it constrains trading style.

Trading with this model has given me an idea for another so I will reprogram the genetic algorithm trading rule optimiser to see if there is any edge in the new idea. I shall file a final report when the 100 trade test is over.