Some Stuff You Might Not Know About Gambling For A Living

• Professional blackjack players have an average advantage of about 1.5%, according to the books I’ve read.  And yet, even with that edge, at most 1.6% of the time, you reach an all-time high.  The rest of the time (over 98%) your bankroll is lower than it was at some point in the past.  Meaning, most of the time it seems like you’re losing.
• For a given size of bankroll, and a given percentage advantage, there exists an optimal-sized bet amount.  Bet lower than this, and you won’t be making as much money as you could be making.  Bet higher than this, and your risk of ruin increases.  In fact, if you exceed this by too much, your risk of ruin becomes 100%.  To see how this might work, start with an imaginary bankroll of, say, $100.  Flip a coin twenty times, betting 50% of your bankroll on each outcome.  (Remember to adjust the bet size for each flip.)  This would seem to be an even-money proposition, yet your bankroll will trend downward.
  
• For a given size bankroll, a given precentage advantage, and a given bet size, your risk of ruin can be calculated.  (No, I’m not going to show you how here.)  Imagine a poker player with a $10,000 bankroll playing a $20-$40 Holdem game.  Imagine his edge yields, on average, $40 per hour.  Interestingly, if he takes $40 per hour out of his bankroll as his pay (you know, to eat and pay the bills and such), his risk of ruin is 100%.  (Depending on the size of his bankroll, this may take a long time, but it WILL happen.)  So that’s what professional gamblers have to cope with.  (The way they do that is by taking a smaller amount out of their bankroll, and if they do experience a large downturn, finding another game with lower stakes.)
  

Sources:

Professional Blackjack, by Stanford Wong

The Mathematics of Poker, by Bill Chen