The psychological difficulty of Kelly betting cannot be overstated, during our 2011 losing streak when Margaret and I lost forty-seven units our bankroll dropped substantially which meant our proper Kelly bet sizes also decreased significantly, the temptation to maintain previous bet sizes to recover losses quickly was enormous but we maintained discipline and reduced our stakes proportionally, within six months we had recovered and our Kelly percentages gradually increased again as bankroll rebuilt, this is the crucial test that most bettors fail, they refuse to decrease bet size during drawdowns which violates Kelly principles and exposes them to ruin risk.
