I'm trying to apply Kelly betting to the stock market, but I'm sure I'm doing some things wrong. A sampling of a trading system shows an average gain per trade of 3.54% with a variance of 0.33%. How do I compute how much of my bankroll I can use per trade? My understanding is that the formula is edge/variance. This gives us 3.54%/.33% = 1065.94% which is more than 10x my bankroll. If I could get this kind of leverage, any trade that lost more than 10% would leave me broke (right?). As this is not all that uncommon in my sampling, I figure I must be doing something wrong. My understanding is that proper Kelly betting should insure I never go broke. Where am I wrong? Thanks.