I took a closer look at the bankroll growth from the wagering backtest of the current snooker model.
It's profitable betting both favorites and underdogs, but the favorites definitely get expensive when they lose.
The biggest single loss was -7.69 units when a -769 favorite underperformed, but the average loss size is -1.27 units compared to an average profit size of +1.43 units. The biggest single profit was +13.54 units when a +1354 underdog won. The longest streaks were 13 losses, and 17 wins in a row.
What I was really interested in was the size of some of the drawdowns.
The average drawdown size is about -10 units (median=-5.83), but the biggest drawdown was -54.63 units. I doubt I would have had enough faith to ride the model 54 units into the abyss if I hadn't seen that in any of the backtests up to that point. I'll also try some backtests with fractional Kelly to see what the growth looks like when I adjust sizing to limit the downside exposure.
In the meantime, anybody here have a war story where they ran into a 50 unit drawdown and made it out with their bankroll still alive?
Last edited by rabbitcoin; 04-13-2021 at 02:50 PM.
Reason: added median value