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

Recommendation: Most professional traders use Half Kelly (or less) to reduce volatility while still capturing most of the growth benefits. Full Kelly maximizes growth but with higher risk of drawdowns.

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.