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Traders
Kelly Criterion
Optimal fraction of capital per trade
Runs locally in your browser
Parameters
Results
- Kelly f*
- 25%
- Half-Kelly
- 12.5%
- Recommendation
- Reduce to ½ Kelly
f* = (bp − q) / b. Half-Kelly reduces drawdown.
How it works
Calculate the optimal fraction of capital to risk per trade using the Kelly criterion.
Who it's for: Systematic traders sizing positions based on edge and win/loss ratio.
Kelly fraction f* = (bp − q) / b where b = avg win/avg loss, p = win rate, q = 1 − p.
Also shows Half-Kelly for more conservative sizing.
Negative Kelly means no statistical edge.
How to use
- Enter Win rate (%) and Avg win / avg loss ratio.
- Read Kelly f* and Half-Kelly percentages.
- Follow the Recommendation line for practical guidance.
Good to know
- Most traders use Half-Kelly or less to reduce drawdown volatility.
FAQ
- Is this investment advice?
- No. This is a mathematical reference for position sizing.