The biggest issue with Kelly is that to use it properly, you must know two things
before you make your bet:
- Your hit rate on this bet
- The payoff
In horse racing, we have neither of those pieces of information.
However, there is a place where one can use it safely and securely.
That would be if you play consistent "sessions," with a clear definition of what constitutes a win or a loss. If you do that, at track the results over even a relatively small number of sessions - maybe as few as 30 or so - you can make a valid estimate of both hit rate and payoff for the entire session.
As an example, for several years, my session win rate has been 73% at 1.28:1 and my loss rate (obviously 27%) at 0.89. IOW, I when I win, my $300 session, I win $384, and when I lose, it is -$267.
This allows me to calculate a precise Kelly.
All that being said, I still don't use it. :-)