Following on from the Premier League Fund, I have adapted the algorithm to the Championship.  As well as adding profits, the addition of a second Fund should also reduce the overall volatility of total invested funds.  This is Markowitz portfolio theory working its statistical magic.  Volatility is reduced since the performance of the Premier League and Championship models are completely uncorrelated.

Continued

Still a few weeks to go until the start of the Premier League for 08/09 but I thought I would lay out the expectations for the performance of the Funds for next season. 

After improving the algorithm, the greatest decision i’ve had to make is what level of risk to take.  On the one side, increasing stakes lead to higher returns but at the same time adds to the volatility of the Fund.  The biggest change in the current model over the model used for last season is a vastly reduced stake size.  The question is, how much volatility am I now comfortable with?

Continued

Following the success of last season, my thoughts obviously turned to whether this can be repeated. Or more accurately, what can be expected from the algorithm betting model in future seasons both in terms of return and the variability of those returns.

“Monte Carlo” is the name given to simulations which make use of computer generated random numbers to identify the range of possible outputs a model may generate in the ‘real world’.  Each random number generates an input from a user defined probability distribution which is run through the user’s model to produce a simulated outcome on each run.  Run this simulation thousands of times and you generate a probability distribution for the output of your model.

Continued