Risk & Money Management
Kelly Criterion Calculator
Compute the Kelly criterion optimal position fraction from win probability and payoff ratio, with the safer half-Kelly and quarter-Kelly shown.
Full Kelly fraction
32.5%
- Half Kelly
- 16.25%
- Quarter Kelly
- 8.13%
- Payoff ratio
- 2.00 : 1
Use with caution. Full Kelly is highly volatile and very sensitive to errors in your win rate and payoff estimates. Most traders use half- or quarter-Kelly to reduce drawdowns.
How this is calculated
The Kelly criterion gives the bet fraction that maximises long-run growth:
f* = W − (1 − W) ÷ R, where W is win probability and R = avgWin ÷ avgLoss is the payoff ratio.
Because full Kelly is volatile and sensitive to estimation error, we also show half-Kelly and quarter-Kelly, which most practitioners prefer.
Frequently asked questions
- What is the Kelly criterion?
- Kelly gives the fraction of capital that maximises long-run growth: f* = W − (1 − W) ÷ R, where W is win probability and R is the win/loss payoff ratio.
- Why use half- or quarter-Kelly?
- Full Kelly is volatile and very sensitive to estimation error in W and R. Many practitioners bet a half or quarter of Kelly to reduce drawdowns.