Kelly criterion calculator
The Kelly criterion gives the fraction of capital that maximises long-run growth for a known edge: f = p − (1 − p) ÷ b, where p is the win rate and b the average win ÷ average loss. A 55% win rate at 1:1 gives 10%. Real edges are uncertain, so many traders use a fraction of Kelly or a much smaller fixed risk.
Kelly criterion calculator
- Full Kelly
- 10%
- Half Kelly
- 5%
These numbers show no edge: Kelly says not to bet.
Check the inputs: some values are missing or out of range.
How it is calculated
f* = p − (1 − p) ÷ bHalf Kelly = f* ÷ 2f* ≤ 0 means the inputs show no edge
Worked example
p = 0.55, b = 1: f* = 0.55 − 0.45 = 0.10 (10%). At p = 0.40 and b = 1, f* is negative: the numbers show no edge, so Kelly says do not bet.
Educational maths only. Not investment advice.
Questions
Should I size every trade at full Kelly?
That is your decision. Full Kelly assumes you know your edge exactly; estimates from a few dozen trades are noisy, and over-betting causes large drawdowns.
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