Kelly Criterion Calculator
Calculate the full Kelly fraction from win rate and payoff, and the fractional Kelly most traders actually use.
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The Kelly criterion answers a specific question: what fraction of capital maximises the long-run growth rate of an account with a known edge. It is the theoretically optimal position size, and almost nobody trades it.
The reason is variance. Full Kelly produces drawdowns that most people will not sit through, and it is extremely sensitive to inputs that traders can only estimate. This calculator produces the full figure, the fractional version most practitioners use, and the break-even win rate that shows whether there is any edge to size at all.
Result
Fractional Kelly
5.69%
- Full Kelly
- 22.74%
- Assessment
- Positive edge on these figures
- Risk at fractional Kelly
- $3,411
- Risk at full Kelly
- $13,646
- Payoff ratio
- 2.06:1
- Expectancy per trade
- $159
- Break-even win rate
- 32.69%
- Edge above break-even
- 15.31%
This tool is for informational and educational purposes only. It is not financial or investment advice, and past performance does not guarantee future results.
A negative or zero Kelly figure means the inputs describe a losing strategy. No position size fixes that; the correct size is zero.
Full Kelly maximises long-run growth and produces drawdowns most traders will not sit through. Fractional Kelly - commonly a quarter or a half - gives up some growth for far smaller swings.
Kelly is extremely sensitive to the win rate and payoff you enter. Both need a large sample of real results, not estimates, or the output is precise nonsense.
How to use the kelly criterion calculator
- Enter your win rate and average win and loss from a large sample of real trades.
- Choose a Kelly fraction - a quarter and a half are the common choices.
- Enter your account size to see the figures in currency.
- Treat a zero or negative result as the answer it is.
What people use this for
- Establishing an upper bound on position size given a measured edge.
- Testing whether an edge exists before worrying about sizing at all.
- Understanding why practitioners use a fraction of the theoretical optimum.
- Comparing sizing implied by Kelly against the risk level you actually use.
Worked examples
Every figure below is produced by running this calculator against the example inputs, so the numbers always match the tool.
A genuine edge
48% win rate, $700 average win, $340 average loss, quarter Kelly, $60,000 account.
- Fractional Kelly
- 5.69%
- Full Kelly
- 22.74%
- Risk at fractional Kelly
- $3,411
No edge to size
40% win rate with a payoff ratio of 1.2.
- Full Kelly
- -10%
- Assessment
- No edge on these figures - Kelly is zero or negative
- Break-even win rate
- 45.45%
Full Kelly is a ceiling, not a recommendation
Kelly maximises the growth rate, and the growth-maximising fraction produces enormous swings. Half Kelly gives up roughly a quarter of the growth rate for substantially smaller drawdowns, which is a trade most people take gladly once they have seen the variance.
Sizing above full Kelly is worse in both dimensions at once: lower long-run growth and larger drawdowns. Whatever else it is, the full figure is a hard upper bound.
The inputs are the weak point
Kelly is exquisitely sensitive to the win rate and payoff you feed it, and both are estimates from a finite sample. Overstating the win rate by a few points can double the recommended fraction, which is why fractional Kelly is partly a hedge against your own measurement error.
A figure calculated from thirty trades is not a position size. It is a number with the right units and no information in it.
A negative result is a complete answer
When the formula returns zero or less, the inputs describe a losing strategy. There is no position size that makes a negative expectancy profitable, and the correct allocation is nothing.
That is a more useful output than it sounds. Traders looking for the right size are frequently asking the wrong question about a strategy that has no edge to size.
Methodology and assumptions
What this calculator does, and what it deliberately does not do.
- Full Kelly is the win rate minus the loss rate divided by the payoff ratio, where the payoff ratio is the average win divided by the average loss.
- Fractional Kelly multiplies that figure by the fraction you select.
- The break-even win rate is the win rate at which the formula returns zero for your payoff ratio.
- The model assumes independent trades with a stable win rate and payoff. Real trading satisfies none of those assumptions exactly.
- Results are arithmetic on the numbers you enter. Nothing here predicts prices or connects to an exchange, broker or market data feed.
- Nothing you type is transmitted or stored - the calculation runs entirely inside your browser.
This tool is for informational and educational purposes only and does not constitute financial or investment advice. Past performance does not guarantee future results.
Nothing on this website is a recommendation to buy, sell or hold any security, currency, derivative or digital asset. No price is predicted and no return is promised or implied.
Trading and investing carry the risk of substantial loss, including the loss of your entire capital. Leveraged products can produce losses that exceed your deposit. Tax treatment depends on your jurisdiction and your circumstances.
Frequently asked questions
Should I trade full Kelly?
This site makes no recommendation. What it can say is that the resulting drawdowns are far larger than most traders expect, which is why fractional Kelly is the common practice.
What fraction do people use?
A quarter and a half are both common. The tool lets you set any fraction and shows the consequence rather than prescribing one.
Why is my Kelly figure negative?
Because the win rate is below what the payoff ratio requires. The strategy loses money on these inputs and no position size changes that.
Is this financial advice?
No. It is a formula applied to numbers you supply, for informational and educational purposes only.
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