Kelly Criterion Calculator

Calculate the mathematically optimal position size to maximize long-term capital growth.

%
$
Risk Tolerance
%
Positive Edge

Kelly %

0.00

Full Kelly

44.0%

Half Kelly

22.0%

Recommended

Quarter Kelly

11.0%

Edge

+44.0% per trade

For every $100 you risk, you expect to make $44.00 in the long run.

Kelly Curve — You are here

-50%0%50%100%Win Rate0%25%50%75%100%Full KellyHalf Kelly

You are here: Win Rate 60%, Payoff 2.5x, Kelly 44.0%

Real-World Examples

Trend+16%

40% WR · 2.5x R → Kelly 16%

Day+25%

55% WR · 1.5x R → Kelly 25%

Scalping+33%

70% WR · 0.8x R → Kelly 33%

Losing-10%

45% WR · 1.0x R → Kelly -10%

Common Mistakes

  1. Don't use Full Kelly — it's theoretically optimal but causes massive drawdowns in practice. Half or Quarter Kelly is the realistic choice.
  2. Your win rate is only as good as your sample size. Fewer than 100 trades is not reliable.
  3. Markets change, strategies degrade. Recalculate Kelly regularly.