When backtesting a model using historical odds, is it fair to cull all bets where the edge is over a certain amount? Currently I place a wager whenever my probability is more than 0.05 above the probability implied by the odds ( 1 / odds) as a starting place.
However, I don't have injury information included in my probabilities, or some other information like clubs resting their whole first team for whatever reason, or clubs selling off many players in a short period of time. And what this results in is my probabilities being more than 0.1 more than the implied probabilities in some circumstances.
As it turns out, if I bet whenever the probability difference >0.05, my ROI is 3.4% over 3700 bets.
Whenever the probability difference >0.11 my ROI is -3% over 550 bets.
Am I deceiving myself if I remove all bets where the difference is >0.11? I know it doesn't change much, but it improves my confidence in the model if I can do this knowing that I wouldn't be betting on these games anyway for whatever reason. Well, maybe I'd bet on some of them but I'm fairly sure the discrepancy is down to unusual situations listed above.