Trade the model
Every fixture the model prices, beside the market's price. Where the two disagree, the desk sizes a ticket by fractional Kelly, settles it on the result and scores you against the closing line. Paper money, on purpose: the honest way to find out whether a disagreement was an edge.
Seven rules, fitted on the early matches and run once over the late ones
If we traded our strategies at their prices, would we make the same money?
What your paper P&L is really made of
The Systematic tab's rules, run at each provider's real price
Same matches in every column, each rule fitted on the earlier 65% and run once over the later 35%, from a 10,000 bankroll. Pinnacle and Bet365 are real books. The consensus is the average across books; best of market is the best price anywhere at that moment, which no single account can trade.
More: the desk's edge rule at each venue, and each provider's price used as the forecast
Our model, executed at each provider's price
Their prices as the forecast, our model beside them
A provider's price is a forecast with a margin on it. Take the margin off and it can be traded exactly as our model is. Executed at the best price on the market, whose opinion makes money?
Model minus market
The market's three prices carry an overround. The desk removes it with the power method (the bookmaker's margin falls more on the long shots than on the favourite), which gives an implied probability for each outcome. The edge is the model's probability minus that, in points. Two points on a 40% outcome means the model says 42%.
edge = pmodel − pimplied · EV = pmodel × price − 1
Fractional Kelly
Kelly's fraction f* = (bp − q)/b maximises the long-run growth of a bankroll if the probability is right. It is not, quite, so the desk takes a quarter of it and never more than 5% of the bankroll on one ticket. A quarter Kelly gives up a little growth for a much shallower drawdown.
f* = (bp − q)/b · stake = bankroll × min(f*/4, 5%)
Closing-line value
Results are noisy; the closing price is not. If the price you took is consistently better than the price the market closed at, you are beating the market's best information, and profit follows in the long run. The desk records the close when the daily update brings it in and prints your average CLV beside your P&L.
CLV = price taken / closing price − 1