Kelly criterion calculator

Optimal fraction of capital to risk per trade given your edge.

Inputs

All three inputs come from your own trade history. The Kelly criterion is only as good as the inputs; if you're guessing your win rate, you'll over-bet.

Why use half-Kelly instead of full Kelly

Full Kelly maximizes the long-run growth rate of capital but produces dramatic drawdowns (50%+ peak-to-trough is common). Half-Kelly captures ~75% of the long-term return with much smaller drawdowns. Most professional managed funds use 0.25-0.5× Kelly, not full Kelly.

Pair this with the position size calculator for the actual dollar amount given an entry/stop.

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