Reoptimisation and the Fear of Overfitting : ChiPS 2016

Richard McElreath, in one of the lectures from his Statistical Rethinking course on YouTube aptly and amusingly notes that (and I'm paraphrasing) models are prone to get excited by exposure to data and one of our jobs as statistical modellers is to ensure that this excitability doesn't lead to problems such as overfitting.

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Predicting Bookmaker Head-to-Head Prices : Five Years On

Recently, in light of the discussions about the validity of the season simulations written up over on the Simulations journal, I got to thinking about modelling the Bookmaker's price-setting behaviour and how it might be expected to respond to the outcomes of earlier games in the season. It's a topic I've investigated before, but not for a while.

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Estimating Team-and-Venue Specific Home Ground Advantage Using the VSRS

In the Very Simple Rating System as I've described it so far, a single parameter, HGA, is used to adjust the expected game margin to account for the well-documented advantages of playing at home. We found that, depending on the timeframe we consider and the performance metric that we chose to optimise, the estimated size of this advantage varied generally in the 6 to 8-point range.
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Optimising the Very Simple Rating System (VSRS)

In the previous blog, introducing the VSRS, I provided optimal values for the tuning parameters of that System, optimal in the sense that they minimised either the mean absolute or the mean squared error across the period 1999 to 2013
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Building Simple Margin Predictors

Having a new - and, it seems, generally superior - way to calculate Bookmaker Implicit Probabilities is like having a new toy to play with. Most recently I've been using it to create a family of simple Margin Predictors, each optimised in a different way.
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Using Risk-Equalising Probabilities for the Margin Predictors

With the exception of Combo_NN_2, all of the Margin Predictors rely on an algorithm that takes Bookmaker Implicit Probabilities as an input in some form: 

  • Bookie_3 and Bookie_9 use Bookmaker Implicit Probabilities directly
  • ProPred_3 and ProPred_7 use the outputs of the ProPred algorithm, which uses a log transform of Bookmaker Implicit Probabilities as one input
  • WinPred_3 and WinPred_7 use the outputs of the WinPred algorithm, which also uses a log transform of Bookmaker Implicit Probabilities as one input
  • H2H_U3, H2H_U10, H2H_A3 and H2H_A7 use the outputs of the Head-to-Head algorithm, which uses Bookmaker Implicit Probabilities as one input
  • Combo_7 uses Bookmaker Implicit Probabilities directly as well as via its use of the outputs of the Head-to-Head Algorithm
  • Combo_NN_2 uses Bookmaker Implicit Probabilities directly as well as via its use of the outputs of the ProPred, WinPred and H2H algorithms

For this short blog I've switched, in all of the underlying algorithms, the Implicit Probabilities calculated using the Risk-Equalising Approach as replacements for those calculated using the Overround-Equalising Approach and then compared the resulting MAPEs for seasons 2007 to 2012 for all the Margin Predictors.

Overall, all Margin Predictors except Bookie_3 benefit from the switch, however modestly. Bookie_9, which now will serve as a co-predictor in the MAFL Margin Fund, benefits most, knocking over one quarter of a point per game off its MAPE.

The uniformity of these improvements is made slightly more remarkable by the realisation that the Margin Predictors, built using Eureqa, were optimised for the probability outputs of the underlying algorithms when those algorithms were using Overround-Equalising Implicit Probabilities. So, for example, the equation for Bookie_9, which is:

Predicted Home Team Margin = 2.2205129 + 17.729506 * ln(Home Team Bookmaker Probability/(1-Home Team Bookmaker Probability)) + 2*Home Team Bookmaker Probability

was created by Eureqa to minimise the historical MAPE of this equation when the Home Team Bookmaker Probabilities being used were those calculated assuming Overround-Equalisation. The 0.26 points per game reduction in the MAPE is being achieved without re-optimising this equation but, instead, simply by replacing the Home Team Probabilities with those calculated using a Risk-Equalising Approach.

Bookie_3 is the one Margin Predictor that responds poorly to the switch of probabilities without an accompanying re-optimisation in Eureqa. When I performed such a re-optimisation, Eureqa came up with this remarkably simple equation:

Predicted Home Team Margin = 21 * ln(Home Team Bookmaker Probability/(1-Home Team Bookmaker Probability))

This predictor has an MAPE of 29.22 points per game, which is extraordinarily low for such an easy-to-use predictor.


Virtually every algorithm used in MAFL has now been shown to benefit, however slightly, from using Implicit Probabilities calculated using the Risk-Equalising instead of the Overround-Equalising Approach. Naturallly, this makes me wonder if there's an even better way ...

Maybe next year I'll look for it.

Predicting the Final Margin In-Running (and Does Momentum Exist)?

Just a short post tonight while we wait for the serious footy to begin. For this blog I've again called upon the services of Formulize, this time to find for me equations that predict the final victory margin for the Home team (which might be negative or zero) purely as a function of the scores at the various quarter breaks.
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Setting an Initial Rating for GWS

Last season I set Gold Coast's initial MARS Rating to the all-team average of 1,000 and they reeled off 70 point or greater losses in each of their first three outings, making a mockery of that Rating. Keen to avoid repeating the mistake with GWS this year, I've been mulling over my analytic options.
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Specialist Margin Prediction: "Bathtub" Loss Functions

We know that we can build quite simple, non-linear models to predict the margin of AFL games that will, on average, be within about 30 points of the actual result. So, if you found a bet type for which general margin prediction accuracy was important - where every point of error contributed to your less - then this would be your model. This year we'll be moving into margin betting though, where the goal is to predict within X points of the actual result and being in error by X+1 points is no different from being wrong by X+100 points. In that environment, our all-purpose model might not be the right choice. In this blog I'll be describing a process for creating margin predicting models that specialise in predicting within X points of the final outcome.
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Predicting the Home Team's Final Margin: A Competition Amongst Predictive Algorithms

With fewer than half-a-dozen home-and-away rounds to be played, it's time I was posting to the Simulations blog, but this year I wanted to see if I could find a better algorithm than OLS for predicting the margins of victory for each of the remaining games.
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Introducing MAFL's First Neural Network

I've been leery of neural networks for some time because of their perhaps undeserved reputation for overfitting data and because of the practical difficulties that have existed in using them for prediction. Phil Brierly's Tiberius software includes an implementation of neural networks that has, at least for now, converted me. As a consequence, I'm adding one final margin predictor to the mix for 2011.
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Margin Prediction for 2011

We've fresh tipsters for 2011, fresh Funds for 2011, so now we need fresh margin predictors for 2011. This year, all of the margin predictors are based on models that produce probability forecasts, which includes the algorithms powering ProPred, WinPred and the Head-to-Head Fund and the "model" that is the TAB Sportsbet bookmaker. The process for creating the margin predictors was to let Eureqa loose on the historical data for seasons 2007 to 2010 to produce equations that fitted previous home team margins of victory as a function of these models' probabilities.
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Trialling The Super Smart Model

The best way to trial a potential Fund algorithm, I'm beginning to appreciate, is to publish each week the forecasts that it makes. This forces me to work through the mechanics of how it would be used in practice and, importantly, to set down what restrictions should be applied to its wagering - for example should it, like most of the current Funds, only bet on Home Teams, and in which round of the season should it start wagering.
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What Do Bookies Know That We Don't?

Bookies, I think MAFL has comprehensively shown, know a lot about football, but just how much more do they know than what you or I might glean from a careful review of each team's recent results and some other fairly basic knowledge about the venues at which games are played?
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Another Day, Another Model

In the previous blog I developed models for predicting victory margins and found that the selection of a 'best' model depended on the criterion used to measure performance.

This blog I'll review the models that we developed and then describe how I created another model, this one designed to predict line betting winners.

The Low Average Margin Predictor

The model that produced the lowest mean absolute prediction error MAPE was constructed by combining the predictions of two other models. One of the constituent models - which I collectively called floating window models - looked only at the victory margins and bookie's home team prices for the last 22 rounds, and the other constituent model looked at the same data but only for the most recent 35 rounds.

On their own neither of these two models produce especially small MAPEs, but optimally combined they produce an overall model with a 28.999 MAPE across seasons 2008 and 2009 (I know that the three decimal places is far more precision than is warranted, but any rounding's going to nudge it up to 29 which just doesn't have the same ability to impress. I consider it my nod to the retailing industry, which persists in believing that price proximity is not perceived linearly and so, for example, that a computer priced at $999 will be thought meaningfully cheaper than one priced at $1,000).

Those optimal weightings were created in the overall model by calculating the linear combination of the underlying models that would have performed best over the most recent 26 weeks of the competition, and then using those weights for the current week's predictions. These weights will change from week to week as one model or the other tends to perform better at predicting victory margins; that is what gives this model its predictive chops.

This low MAPE model henceforth I shall call the Low Average Margin Predictor (or LAMP, for brevity).

The Half Amazing Margin Predictor

Another model we considered produced margin predictions with a very low median absolute prediction error. It was similar to the LAMP but used four rather than two underlying models: the 19-, 36-, 39- and 52-round floating window models.

It boasted a 22.54 point median absolute prediction error over seasons 2008 and 2009, and its predictions have been within 4 goals of the actual victory margin in a tick over 52% of games. What destroys its mean absolute prediction error is its tendency to produce victory margin predictions that are about as close to the actual result as calcium carbonate is to coagulated milk curd. About once every two-and-a-half rounds one of its predictions will prove to be 12 goals or more distant from the actual game result.

Still, its median absolute prediction error is truly remarkable, which in essence means that its predictions are amazing about half the time, so I shall name it the Half Amazing Margin Predictor (or HAMP, for brevity).

In their own highly specialised ways, LAMP and HAMP are impressive but, like left-handed chess players, their particular specialities don't appear to provide them with any exploitable advantage. To be fair, TAB Sportsbet does field markets on victory margins and it might eventually prove that LAMP or HAMP can be used to make money on these markets, but I don't have the historical data to test this now. I do, however, have line market data that enables me to assess LAMP's and HAMP's ability to make money on this market, and they exhibit no such ability. Being good at predicting margins is different from being good at predicting handicap-adjusted margins.

Nonetheless, I'll be publishing LAMP's and HAMP's margin predictions this season.

HELP, I Need Another Model

Well if we want a model that predicts line market winners we really should build a dedicated model for this, and that's what I'll describe next.

The type of model that we'll build is called a binary logit. These can be used to fit a model to any phenomenon that is binary - that is, two-valued - in nature. You could, for example, fit one to model the characteristics of people who do or don't respond to a marketing campaign. In that case, the binary variable is campaign response. You could also, as I'll do here, fit a binary logit to model the relationship between home team price and whether or not the home team wins on line betting.

Fitting and interpreting such models is a bit more complicated than fitting and interpreting models fitted using the ordinary least squares method, which we covered in the previous blog. For this reason I'll not go into the details of the modelling here. Conceptually though all we're doing is fitting an equation that relates the Home team's head-to-head price with its probability of winning on line betting.

For this modelling exercise I have again created 47 floating window models of the sort I've just described, one model that uses price and line betting result data only the last 6 rounds, another that use the same data for the last 7 rounds, and so on up to one that uses data from the last 52 rounds.

Then, as I did in creating HAMP and LAMP, I looked for the combination of floating window models that best predicts winning line bet teams.

The overall model I found to perform best combines 24 of the 47 floating window models - I'll spare you the Lotto-like list of those models' numbers here. In 2008 this model predicted the line betting winner 57% of the time and in 2009 it predicted 64% of such winners. Combined, that gives it a 61% average across the two seasons. I'll call this model the Highly Evolved Line Predictor (or HELP), the 'highly evolved' part of the name in recognition of the fact that it was selected because of its fitness in predicting line betting winners in the environment that prevailed across the 2008 and 2009 seasons.

Whether HELP will thrive in the new environment of the 2010 season will be interesting to watch, as indeed will be the performance of LAMP and HAMP.

In my previous post I drew the distinction between fitting a model and using it to predict the future and explained that a model can be a good fit to existing data but turn out to be a poor predictor. In that context I mentioned the common statistical practice of fitting a model to one set of data and then measuring its predictive ability on a different set.

HAMP, LAMP and HELP are somewhat odd models in this respect. Certainly, when I've used them to predict they're predicting for games that weren't used in the creation of any of their underlying floating window models. So that's a tick.

They are, however, fitted models in that I generated a large number of potential LAMPs, HAMPs and HELPs, each using a different set of the available floating window models, and then selected those models which best predicted the results of the 2008 and 2009 seasons. Accordingly, it could well be that the superior performance of each of these models can be put down to chance, in which case we'll find that their performances in 2010 will drop to far less impressive levels.

We won't know whether or not we're witnessing such a decline until some way into the coming season but in the meantime we can ponder the basis on which we might justify asserting that the models are not mere chimera.

Recall that each of the floating window models use as predictive variables nothing more than the price of the Home team. The convoluted process of combining different floating window models with time-varying weights for each means that, in essence, the predictions of HAMP, LAMP and HELP are all just sophisticated transformations of one number: the Home team price for the relevant game.

So, for HAMP, LAMP and HELP to be considered anything other than statistical flukes it needs to be the case that:

  1. the TAB Sportsbet bookie's Home team prices are reliable indicators of Home teams' victory margins and line betting success
  2. the association between Home team prices and victory margins, and between Home team prices and line betting outcomes varies in a consistent manner over time
  3. HAMP, LAMP and HELP are constructed in such a way as to effectively model these time-varying relationships

On balance I'd have to say that these conditions are unlikely to be met. Absent the experience gained from running these models live during a fresh season then, there's no way I'd be risking money on any of these models.

Many of the algorithms that support MAFL Funds have been developed in much the same way as I've described in this and the previous blog, though each of them is based on more than a single predictive variable and most of them have been shown to be profitable in testing using previous seasons' data and in real-world wagering.

Regardless, a few seasons of profitability doesn't rule out the possibility that any or all of the MAFL Fund algorithms haven't just been extremely lucky.

That's why I'm not retired ...

There Must Be 50 Ways to Build a Model (Reprise)

Okay, this posting is going to be a lot longer and a little more technical than the average MAFL blog (and it's not as if the standard fare around here could be fairly characterised as short and simple).

Anyway, over the years of MAFL, people have asked me about the process of building a statistical model in sufficient number and with such apparent interest that I felt it was time to write a blog about it.

Step one in building a model is, as in life, finding a purpose and the purpose of the model I'll be building for this blog is to predict AFL victory margins, surely about as noble a purpose as a model can aspire to. Step two is deciding on the data that will be used to build that model, a decision heavily influenced by expedience; often it's more a case of 'what have I already got that might be predictive?' rather than 'what will I spend the next 4 weeks of my life trying to source because I've an inkling it might help?'.

Expediently enough, the model I'll be building here will use a single input variable: the TAB Sportsbet price of the home team, generally at noon on Wednesday before the game. I have this data going back to 1999, but I've personally recorded prices only since 2006. The remainder of the data I sourced from a website built to demonstrate the efficacy of the site-owner's subscription-based punting service, which makes me trust this data about as much as I trust on-site testimonials from 'genuine' customers. We'll just be using the data for the seasons 2006 to 2009.

Fitting the Simplest Model

The first statistical model I'll fit to the data is what's called an ordinary least-squares regression - surely a name to cripple the self-esteem of even the most robust modelling technique - and is of the form Predicted Margin = a + (b / Home Team Price).

The ordinary least-squares method chooses a and b to minimise the sum of the (squared) differences between the actual victory margin and that which would be predicted using it and, in this sense, 'fits' the data best of all the possible choices of a and b that we could make.

We've seen the result of fitting this model to the 2006-2009 data in an earlier blog where we saw that it was:

Predicted Margin = -49.17 + 96.31 / Home Team Price

This model fits the data for seasons 2006 to 2009 quite well. The most common measure of how well a model of this type fits is what's called the R-squared and, for this model, it's 0.236, meaning that the model explains a little less than one-quarter of the variability in margins across games.

But this is a difficult measure to which to attach any intuitive meaning. Better perhaps is to know that, on average, the predictions of this model are wrong by 29.3 points per game and that, for one-half of the games it is within 24.1 points of the actual result, and for 27% of the games it is within 12 points.

These results are all very promising but it would be a rookie mistake to start using this model in 2010 with the expectation that it will explain the future as well as it has explained the past. It's quite common for a statistical model to fit existing data well but to forecast as poorly as a surprised psychic ('Jeez, I didn't see that coming!').

Why? Because forecasting and fitting are two very different activities. When we build the model we deliberately make the fit as good as it can be and this can mean that the model we create doesn't faithfully represent the process that created that data. This is known in statistical circles - which, I guess, are only round on average - as 'overfitting' the data and it's one of the many things over which we obsess.

Overfitting is less likely to be a problem for the current model since it has only one variable in it and overfitting is more commonly a disease of multi-variable models, but it's something that it's always wise to check. A bit like checking that you've turned the stove off before you leave home.

Testing the Model

The biggest problem with modelling the future is that it hasn't happened yet (with apologies to whoever I stole or paraphrased that from). In modelling, however, we can create an artificial reality where, as far as our model's concerned, the future hasn't yet happened. We do this by fitting the model to just a part of the data we have, saving some for later as it were.

So, here we could fit the 2006 season's data and use the resulting model to predict the 2007 results. We could then repeat this by fitting a model to the 2007 data only and then use that model to predict the 2008 results, and then do something similar for 2009. Collectively, I'll call the models that I've fitted using this approach "Single Season" models.

Each Single Season model's forecasting ability can be calculated from the difference between the predictions it makes and the results of the games in the subsequent season. If the Single Season models overfit the data then they'll tend to fit the data well but predict the future badly.

The results of fitting and using the Single Season models are as follows:

2010 - Bookie Model Comparisons.png

The first column, for comparative purposes, shows the results for the simple model fitted to the entire data set (ie all of 2006 to 2009), and the next three columns show the results for each of the Single Season models. The final column averages the results for all the Single Season models and provides results that are the most directly comparable with those in the first column.

On balance, our fears of overfitting appear unfounded. The average and median prediction errors are very similar, although the Single Season models are a little worse at making predictions that are within 3 goals of the actual result. Still, the predictions they produce seem good enough.

What Is It Good For?

The Single Season approach looks promising. One way that it might have a practical value is if it can be used to predict the handicap winners of each game at a rate sufficient to turn a profit.

Unfortunately, it can't. In 2007 and 2008 it does slightly better than chance, predicting 51.4% of handicap winners, but in 2009 it predicts only 48.1% of winners. None of these performances is good enough to make money since, at $1.90 you need to tip at better than 52.6% to make money.

In retrospect, this is not entirely surprising. Using a bookie's own head-to-head prices to beat him on the line market would be just too outrageous.

Hmmm. What next then?

Working with Windows

Most data, in a modelling context, has a brief period of relevance that fades and, eventually, expires. In attempting to predict the result of this week's Geelong v Carlton game, for example, it's certainly relevant to know that Geelong beat St Kilda last week and that Carlton lost to Melbourne. It's also probably relevant to know that Geelong beat Carlton when they last played 11 weeks ago, but it's almost certainly irrelevant to know that Carlton beat Collingwood in 2007. Finessing this data relevance envelope by tweaking the weights of different pieces of data depending on their age is one of the black arts of modelling.

All of the models we've constructed so far in this blog have a distinctly black-and-white view of data. Every game in the data set that the model uses is treated equally regardless of whether it pertains to a game played last week, last month, or last season, and every game not in the data set is ignored.

There are a variety of ways to deal with this bipolarity, but the one I'll be using here for the moment is what I call the 'floating window' approach. Using it, a model is always constructed using the most recent X rounds of data. That model is then used to predict for just the current week then rebuilt next week for the subsequent week's action. So, for example, if we built a model with a 6-round floating window then, in looking to predict the results for Round 8 of a given season we'd use the results for Rounds 2 through 7 of that season. The next week we'd use the results for Rounds 3 through 8, and so on. For the early rounds of the season we'd reach back and use last year's results, including finals.

So, next, I've created 47 models using floating windows ranging from 6-round to 52-round. Their performance across seasons 2008 and 2009 is summarised in the following charts.

First let's look at the mean and median APEs:

2010 - Floating Window APE.png

Broadly what we see here is that, in terms of mean APE, larger floating windows are better than smaller ones, but the improvement is minimal from about an 11-round window onwards. The median APE story is quite different. There is a marked minimum with a 9-round floating window, and 8-round and 10-round floating windows also perform well.

Next let's take a look at how often the 47 models produce predictions close to the actual result:

2010 - Floating Window Accuracy.png

The top line charts the percentage of time that the relevant model produces predictions that are 3-goals or less distant from the actual result. The middle line is similarly constructed but for a 2-goal distance, and the bottom line is for a 1-goal distance.

Floating windows in the 8- to 11-round range all perform well on all three metrics, consistent with their strong performance in terms of median APE. The 16-round, 17-round and 18-round floating window models also perform well in terms of frequently producing predictions that are within 2-goals of the actual victory margin.

Next let's look at how often the 47 models produce predictions that are very wrong:

2010 - Floating Window Accuracy 36.png

In this chart, unlike the previous chart, lower is better. Here we again find that larger floating windows are better than smaller ones, but only to a point, the effect plateauing out with floating windows in the 30s

Again though to consider each model's potential punting value we can look at its handicap betting performance.

2010 - Floating Window Line.png

On this measure, only the model with an 11-round floating window seems to have any exploitable potential.

But, like Columbo, we just have one more question to ask of the data ...

Dynamic Weighted Floating Windows

(Warning: This next bit hurts my head too.)

We now have 47 floating window models offering an opinion on the likely outcomes of the games in any round. What if we pooled those opinions? But, not opinions are of equal value, so which opinions should we include and which should we ignore? What if we determined which opinions to pool based on the ability of different subsets of those 47 models to fit the results of, say, the last 26 rounds before the one we're trying to predict? And what if we updated those weights each round based on the latest results?

Okay, I've done all that (and yes it took a while to conceptualise and code, and my first version, previously published here, had an error that caused me to overstate the predictive power of one of the pooled models, but I got there eventually). Here's the APE data again now including a few extra models based on this pooling idea:

2010 - Floating Window APE with Dyn.png

(The dynamic floating window model results are labelled "Dynamic Linear I (22+35)" and "Dynamic Linear II (19+36+39+52)" The numbers in brackets are the Floating Window model forecasts that have been pooled to form the Dynamic Linear model. So, for example, the Dynamic Linear I model pools only the opinions of the Floating Window models based on a 22-round and a 35-round window. It determines how best to weight the opinions of these two Floating Window models by optimising over the past 26 rounds.

I've also shown the results for the Single Season models - they're labelled 'All of Prev Season' - and for a model that always uses all data from the start of 2006 up to but excluding the current round, labelled 'All to Current'.)

The mean APE results suggest that, for this performance metric at least, models with more data tend to perform better than models with less. The best Dynamic Linear model I could find, for all its sophistication still only managed to produce a mean APE 0.05 points per game lower than the simple model that used all the data since the start of 2006, weighting each game equally.

It is another Dynamic Linear model that shoots the lights out on the median APE results, however. The Dynamic Linear model that optimally combines the opinions of 19-, 36-, 39- and 52-round floating windows produces forecasts with a median APE of just 22.54 points per game.

The next couple of charts show that this superior performance stems from this Dynamic Linear model's all-around ability - it isn't best in terms of producing the most APEs under 7 points nor in terms of producing the fewest APEs of 36 points or more.

2010 - Floating Window Accuracy with Dyn.png
2010 - Floating Window Accuracy 36 with Dyn.png

Okay, here's the clincher. Do either of the Dynamic Linear models do much of a job predicting handicap winners?

2010 - Floating Window Line with Dyn.png

Nope. The best models for predicting handicap winners are the 11-round floating window model and the model formed by using all the data since the start of 2006. They each manage to be right just over 53% of the time - a barely exploitable edge.

The Moral So Far ...

What we've seen in these results is consistent with what I've found over the years in modelling the footy. Models tend to be highly specialised, so one that performs well in terms of, say, mean APE, won't perform well in terms of median APE.

Perhaps no surprise then that none of the models we've produced so far have been any good at predicting handicap margin winners. To build such a model we need to start out with that as the explicit modelling goal, and that's a topic for a future blog.