Investigating Alpha in Horse Racing

Project Report and Presentation

• QF206 Project Report
• QF206 Project Presentation

About the Project

This project aims to explore potential opportunities in the Hong Kong Horse Race Betting market, utilising data from Hong Kong Jockey Club.

Results

Best Performance of each Strategy

• Using a single-bet betting strategy where we only bet the horse with the highest probability of winning in a race, we are able to make substantial profits
• Flat betting yielded the highest absolute profits
• While using Kelly Criterion to perform bet allocation reduced absolute profits, average returns per bet consistently outperformed flat betting across all methods and target variables, except for Naive Mean Variance Strategy.
• Overall, ML models performs the best. The ML models are able to predict the winner of a race more than 50% of the time

Overview of ML Model Profitability with Betting Strategy

	Race Speed Regressors	Finish Time Regressors	Finishing Position Classifiers
Flat Betting	$41,250	$31,290	$8,430
Betting with Kelly Criterion	$30,360.08	$28,419.82	$4,914,48
Prediction Accuracy	57.3%	55.1%	53.9%

Using a Flat Betting Strategy

Using Kelly Criterion to allocate bet amounts

Model Training Performance