Were there many online gambling sites on there competing with the affiliate link you were promoting?
If so, remember they are getting 100% of the profits at you are getting 20%-40%. They can afford to fry the impressions up to the point where they are getting quadruple exposures for each visitor. They are likely paying $300 a CPA which would leave you at $700 a CPA.
If you ran it for $10,000 or more and saw nothing, that is a different story. There are hundreds of media companies out there that do nothing all day but broker there traffic and know nothing about online gambling.
If it is a site that had other casinos on it, perhaps you want to tinker with the landing page or the creative. Maybe you could get better conversions. Still, you are paying double what they are. This is why SEO has been such a blessing for online affiliates and always will be.