I’m in a similar boat. Come from the weight loss niche after some really good successes that eventually got slapped down by Goog thinking I could repeat that success with igaming.
Like you, I built up a pretty decent site, a small network of supporting (link) sites, twitter and pinterest pages for the social bull (that I’m still not convinced makes the slightest difference). I took it real careful just building the site with lots of fresh content and slipping in only the very occasional inbound link – so far only 4 direct links in total over a few months to stay well under the Penguin radar, although plenty of links hitting the support sites 
Over the last couple of months, I started introducing some monetization, going with those brands that found me and asked to partner with me – not the other way round. I’m getting decent long tail traffic and collecting a fair few clicks, but so far I’ve managed only one depositing signup.
Sure its slow, but I came into this with the understanding that it would take a lot of time to get established. I don’t want to make the same mistakes I did with weight loss by being too aggressive, so I’m going softly softly catchee monkey.
What I getting to is I understand its frustrating to put in all that work and see no return. Hell, I didn’t even go down the adwords route (yet) so you must be feeling even more peeved at this that I am. But by never giving up and keeping at it, I’m sure you and I and anyone else in a similar boat will crack it eventually.