tag:blogger.com,1999:blog-6604145888692486071.post3919845586737918..comments2017-11-20T10:50:07.139+00:00Comments on Betfair Pro Trader: Sharpe Ratio for BettingJameshttp://www.blogger.com/profile/05075123015442859635noreply@blogger.comBlogger23125tag:blogger.com,1999:blog-6604145888692486071.post-39478906267285745602017-02-11T20:13:04.488+00:002017-02-11T20:13:04.488+00:00Nothing is set in stone as Sharpe is an arbitrary ...Nothing is set in stone as Sharpe is an arbitrary value and open to interpretation. You may tinker with it as you see fit.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-66376347644856695392017-02-09T22:07:19.534+00:002017-02-09T22:07:19.534+00:00Hi James,
Since we are working with percentage a...Hi James, <br /><br />Since we are working with percentage averages, why is the geometric mean not being used to determine our avg?<br /><br />Thank you.Brianhttps://www.blogger.com/profile/00327457222316853934noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-66958112978386227022016-05-31T11:23:07.087+01:002016-05-31T11:23:07.087+01:00Simple total up your daily turnover and subtract i...Simple total up your daily turnover and subtract it from your total return to give a percentage daily yield.<br /><br />Calculate Sharpe on these daily yields.<br /><br />I wouldn't get too wedded to Sharpe. There are many ways of calculating performance.<br /><br />For example the ones in the graphics in the following<br /><br />http://www.betfairprotrader.co.uk/2016/05/Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-27600904018197962662016-05-31T11:20:21.540+01:002016-05-31T11:20:21.540+01:00Always the way forward. Algo-trading is impassiona...Always the way forward. Algo-trading is impassionate trading and also allows you to scale up your income.<br /><br />e.g. http://www.betfairprotrader.co.uk/2014/08/is-it-time-to-turn-to-bot.htmlJameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-20351327921039354972016-05-31T11:15:07.033+01:002016-05-31T11:15:07.033+01:00'Try working out a daily Sharpe by % yield for...'Try working out a daily Sharpe by % yield for the day and see if it is greater. I would assume so.'<br /><br />Could you possibly clarify how to do this please.M Harveyhttps://www.blogger.com/profile/10422332774704183516noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-87071018276630542122016-05-31T11:13:12.308+01:002016-05-31T11:13:12.308+01:00Thanks James! Yield is good per trade 0.95 x my in...Thanks James! Yield is good per trade 0.95 x my initial stake £2 after comm. But will try for the 100 as per your suggestion. <br /><br />This is an automated trading strategy, interestingly trading manually my daily sharp ration based on the same sample size is 0.87 with stdev: 2.1 and with my tendency to blow up is probably reflected in the stdev figure.<br /><br />Begs the question is M Harveyhttps://www.blogger.com/profile/10422332774704183516noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-14257098772799462252016-05-31T10:44:05.729+01:002016-05-31T10:44:05.729+01:00Yes, a bigger sample size is a must. Try for 100.
...Yes, a bigger sample size is a must. Try for 100.<br /><br />Ideally, you want your Sharpe at least over 1.00 but 0.9 is not bad.<br /><br />Try working out a daily Sharpe by % yield for the day and see if it is greater. I would assume so.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-33049704057689081402016-05-31T01:08:21.327+01:002016-05-31T01:08:21.327+01:00Just tested one of my strategies with sharp ratio ...Just tested one of my strategies with sharp ratio formula you kindly provided and based a very modest sample size of 16 trades over a 10 day period, I have a sharp ratio: 0.9, stdev: 1.29 and sr of 75%. Don't know whether to be worried or not??? Surely to good to be true??? With sample size so small surely has to decrease?M Harveyhttps://www.blogger.com/profile/10422332774704183516noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-20876337677028173292015-10-27T20:51:47.832+00:002015-10-27T20:51:47.832+00:00Thanks again, James. Makes sense to me. Thanks again, James. Makes sense to me. Brianhttps://www.blogger.com/profile/00327457222316853934noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-60374421850842701922015-10-27T20:37:43.269+00:002015-10-27T20:37:43.269+00:00Dr Bob has gone the whole hog and used the financi...Dr Bob has gone the whole hog and used the financial Sharpe Ratio, which is not that different to the sports betting version but includes a benchmark.<br /><br />What Dr Bob is saying is that you have a choice; either bet on the S&P (assuming it is risk-free during the duration of your bet - it could fall in value so maybe not that risk free - the usual benchmark would be a government bond) Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-53231589535350604772015-10-27T20:28:52.012+00:002015-10-27T20:28:52.012+00:00Gotcha. Thank you for the rapid response.
I as...Gotcha. Thank you for the rapid response. <br /><br />I asked the question because as I was researching the Sharpe Ratio, I came across this post (https://www.drbobsports.com/essays.cfm?p=17) from Dr. Bob, who does use a risk-free return (S&P) so I was a little confused as which method to use as the results will vary depending upon which is applied. <br /><br /><br />Brianhttps://www.blogger.com/profile/00327457222316853934noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-24587327192876841392015-10-27T10:24:30.138+00:002015-10-27T10:24:30.138+00:00The financial version of the Sharpe Ratio does uti...The financial version of the Sharpe Ratio does utilise a risk-free return but what would be a risk-free return for a bettor?<br /><br />A bank account or not betting at all? Either way, it is close to zero.<br /><br />I have seen no version of a sports bettting Sharpe Ratio utilising a risk-free return benchmark.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-71940429969412944582015-10-27T07:35:36.687+00:002015-10-27T07:35:36.687+00:00Hi James,
Aren't you missing one of the Shar...Hi James, <br /><br />Aren't you missing one of the Sharpe Ratio's components, the risk-free return? Is it not necessary for our purposes to use that benchmark?<br /><br />Thank you. <br /><br />Brianhttps://www.blogger.com/profile/00327457222316853934noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-45998934145035476132015-08-13T20:41:57.758+01:002015-08-13T20:41:57.758+01:00Yes, I do enjoy me work, very much.
By quant trad...Yes, I do enjoy me work, very much.<br /><br />By quant trading, are you referring to sports or financials?<br /><br />Inside the Black Box is a good one for learning black box trading and how quants approach algorithmic trading.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-17419839713980309322015-08-13T20:38:51.802+01:002015-08-13T20:38:51.802+01:00Ok! I see. Thank you so much.
It is interesting t...Ok! I see. Thank you so much.<br /><br />It is interesting to see you keep writing and replying comments here... looks like you really like what you do.<br /><br />Sorry for ask, but can you recommend a "path" for someone who wants to read/learn about "quant trading"?<br /><br />Ok, I'm reading all your posts making notes and checking the books... but what should I do Bruno H.https://www.blogger.com/profile/16742655155606301060noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-24253393309217257732015-08-13T20:25:07.362+01:002015-08-13T20:25:07.362+01:00The maths is correct. However, the example above i...The maths is correct. However, the example above is simplistic. You would want a much larger sample.<br /><br />And yes, getting a good ratio is hard and I often settle for one between 1.5 and 2.0<br /><br />The figure of 2.0 is from the financial world.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-36002135151424200342015-08-13T20:09:52.275+01:002015-08-13T20:09:52.275+01:00Hi James,
Let me give an example:
- 10 races
- 9 ...Hi James,<br /><br />Let me give an example:<br />- 10 races<br />- 9 greens, $30 each one<br />- 1 red, -$10 each one<br /><br />So I will get:<br />- $26 average<br />- 12.64 desvpad<br />- 2.06 sharp ratio<br /><br />So winning 90% of time with greens 3x more than red I can get the "good ratio" that you said (greater than 2).<br /><br />Looks like it's difficult to get a "Bruno H.https://www.blogger.com/profile/16742655155606301060noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-57907610640786530662013-11-18T08:24:01.420+00:002013-11-18T08:24:01.420+00:00For something like this I would program it in a se...For something like this I would program it in a separate application. A simple Excel syle spreadsheet would be a laborious task to create for something like this. My Martingale sim for roulette was a little basic but all that was needed to prove my point.<br /><br />If you are loath to learn programming then there might be an add-on Excel package to buy somewhere. That would contain VBA code to Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-1059774755554390632013-11-18T03:14:40.356+00:002013-11-18T03:14:40.356+00:00Today I've tried to figure out a way of doing ...Today I've tried to figure out a way of doing the montecarlo simulation on excel reading several manuals but I've found it extremely maybe due to my very basic level of mathematics.<br />I saw your article about this, very interesting by the way.<br />I will keep on searching that.Glen Adamshttps://www.blogger.com/profile/10931964857733724328noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-70489529775943050212013-11-17T23:27:01.325+00:002013-11-17T23:27:01.325+00:00Let me see. So you made a spreadsheet with 53 retu...Let me see. So you made a spreadsheet with 53 returns in it. The average return was 0.52 and the stdev was 1.04 giving a ratio of 0.49<br /><br />From experience I would say that is a winning strategy but one that could suffer a major downturn that could wipe out your bankroll.<br /><br />Have you done anything with Monte Carlo simulation and simulated your strategy a couple of million times? Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-72253386420831883102013-11-16T23:56:07.069+00:002013-11-16T23:56:07.069+00:00Great, thanks a lot! I understand it better now. I...Great, thanks a lot! I understand it better now. I'm actually testing a laying strategy that gave me 30% ROI on 53 selections (over 500 races) so far, now Im putting my money in it and wanted to measure all the risks involved.<br />All my positive returns are 0,95 (laying). <br />I get an average of 0,52 (with losses included of course), the stdev is 1.04, so (0,52/1,04=0,49) my sharpe ratio Glen Adamshttps://www.blogger.com/profile/10931964857733724328noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-81354034451878420802013-11-16T11:00:06.006+00:002013-11-16T11:00:06.006+00:00I have updated the article and hope that you under...I have updated the article and hope that you understand it better.Jameshttps://www.blogger.com/profile/05075123015442859635noreply@blogger.comtag:blogger.com,1999:blog-6604145888692486071.post-56646133788583490512013-11-15T23:34:45.357+00:002013-11-15T23:34:45.357+00:00Hi, first of all congratulations for your blog. Wh...Hi, first of all congratulations for your blog. What would be the volatility? I dont get how to enter the formula. I can calculate the Roi, is it something to fo with liability? Thanks a lot for the info. GuidoGlen Adamshttps://www.blogger.com/profile/10931964857733724328noreply@blogger.com