All good points, there is also the question of whether they are correlated with each other. A simple but good example of this would be trainer strike rate and sire strike rate. The better trainers tend to house the better horses and so using both is somewhat akin to double counting. I have found that when creating ensemble models (thats putting the outputs of 2 or more models together and creating a supe model so to speak) one is better off checking the correlation of the model outputs themselves. So a practical example combining 2 models that both involve pace would probably be inferior to one that combines pace and another that involves breeding. The wisdom of Crowds dictates that the crowd must be contrasting in their view or skill
MySportsAI
Agree Mark with the multicollinearity / orthoganility aspects
A good example is when your modeling jockeys - a jockey's skill level (measured by long term win % rates for eg) is at best a measure of "opportunity" - the win % is highly correlated to the average skill level of the horses trainer and therefore average quality/class of ride.
When you strip that out you get a more truthful measure at the margin and you find out that the true skill level of say the top 25 riders has a relatively small range and does not reflect the gaps or distance between the artificially enhanced win % rates.
My auld granny who was also a hardened gambler used to have a saying when she was modeling her rations during the war for a family of 22
that included a couple of kids that she took in that had lost their home and parents to the Nazi bombers on the Clyde-side
She would often look up from the ration book and say
"Multicollinearity can lead you down the River Clyde without a fucking paddle"
and then would add
"Orthoganility can often lead to what some men get in a massage parlor - extreme relief and very occasionally a "happy ending""
She was a wise old Bird but in later life had a penchant for backing Pat Eddery and John Reid doubles and trebles across the card.
Whilst i often follow the principles of The Wisdom Of The Crowds, i also used to like to venture into territory that could be termed "The Madness Of Crowds"
especially in those Glaswegian pubs that an outsider might term "dangerous"