Kelly Criterion Calculator
Parameters
Kelly Criterion Results
Full Kelly (Optimal)
0.00%
of capital per trade
Half Kelly (Conservative)
0.00%
of capital per trade
Quarter Kelly (Very Conservative)
0.00%
of capital per trade
Capital Growth Simulation
Simulation Results
| Kelly Fraction | Final Capital | Total Return | Annualized Growth Rate |
|---|
Understanding Kelly Criterion
The Kelly Criterion helps traders determine the optimal fraction of their capital to risk on each trade, based on their edge (win rate and risk/reward ratio).
Full Kelly is mathematically optimal for maximizing long-term capital growth, but it comes with high volatility.
Half Kelly (50% of the Kelly percentage) is often preferred by professional traders because it captures ~75% of the optimal growth rate while significantly reducing drawdown risk.
Quarter Kelly is extremely conservative, capturing ~50% of the optimal growth rate but with much lower volatility.
The formula used: Kelly % = Win Rate - [(1 - Win Rate) / Risk:Reward Ratio]
Note on the simulation: This calculator includes market friction factors like slippage and transaction costs that increase with position size, as well as position size limits. In real markets, larger positions typically face greater execution challenges and costs. The simulation caps position sizes at 25% of capital regardless of the Kelly calculation, reflecting real-world constraints.