Kelly Criterion Calculator
The Kelly criterion is a formula for the fraction of capital that maximises long run growth for a given edge. This Kelly Criterion Calculator takes your win rate and payoff ratio and returns the full, half and quarter Kelly percentages.
Full Kelly is aggressive. It assumes your statistics are exact and stable, and it accepts very deep swings on the way. Most traders who use Kelly at all use a fraction of it. The calculator runs in your browser and nothing you type is sent anywhere.
How to use it
- Win rate, the share of trades that finish positive, from a large sample.
- Payoff ratio, average winning trade divided by average losing trade.
The formula is f = W - (1 - W) ÷ B where W is the win rate and B is the payoff ratio. The result is the fraction of equity to risk per trade. Half Kelly is that number divided by two, quarter Kelly divided by four.
What the fractions mean for swings. In the simple model behind the formula, half Kelly keeps about three quarters of the growth rate of full Kelly with much smaller drawdowns. Quarter Kelly keeps a little under half the growth rate with smaller swings again. Full Kelly makes long, deep drawdowns a normal part of the ride. If the result is zero or negative, the formula says there is no edge to size.
FAQ
What is the Kelly criterion?
A formula from 1956 that gives the bet fraction which maximises the expected logarithm of wealth for a repeated bet with a known edge. Traders use it as a ceiling on risk per trade, not a target.
Why do traders use half or quarter Kelly?
Because the inputs are estimates. Overstating the edge by even a little pushes full Kelly past the optimum, where growth falls and drawdowns grow. A fraction gives room for error and keeps swings tolerable.
What if the result is negative?
Then the formula finds no positive edge in the numbers you typed. The right Kelly size is zero. Check the sample size and costs before trusting either the inputs or the answer.
Is Kelly the same as risk per trade?
Roughly. The Kelly fraction is the share of equity at risk if the trade loses, so it maps to the risk percentage you would put into a position size calculator. Many retail traders sit well under one percent regardless of what Kelly says.
Does this predict my drawdown?
No. It shows how the formula responds to your inputs. Real drawdowns depend on trade sequence, correlation, costs and whether your edge persists.
See also the free trading tools hub, the expectancy calculator and the risk of ruin calculator. Please read our risk disclosure.