Another word of caution. The Kelly Criterion depends on each event being independent. Lets say I'm told to allocate 50% to QQQ and 50% to SPY. Those may independently be correct, but since the NASDAQ and S&P are highly correlated, this wouldn't be the correct allocation. You've essentially allocated 100% of your portfolio to one probability, rather than 50% to two independent probabilities.

This is an obvious example. But really all stocks (or at least sectors) are correlated just like this. So other examples wouldn't be so obvious.