Kelly Criterion Calculator
What is the mathematically optimal size for this edge?
Enter your win rate and payoff ratio to get the Kelly percentage — the position size that maximizes long-term growth without overexposing your account.
A Kelly criterion calculator for trading finds the mathematically optimal fraction of your account to risk per trade, based on your win rate and payoff ratio. Whether you are using this Kelly criterion calculator stocks sizing model or trading forex and options, the formula helps you maximize geometric growth while keeping drawdowns within statistically survivable boundaries. Using a Kelly criterion calculator for trading helps you eliminate guesswork and build a robust risk management system.
Kelly % = W – [(1 – W) / R]
How the Formula Works
A Kelly criterion calculator for trading finds the mathematically optimal fraction of your account to risk per trade, based on your win rate and payoff ratio. Whether you are using this Kelly criterion calculator stocks sizing model or trading forex and options, the formula helps you maximize geometric growth while keeping drawdowns within statistically survivable boundaries. Using a Kelly criterion calculator for trading helps you eliminate guesswork and build a robust risk management system.
Formula Expression
Example Calculation
"If your strategy wins 50% of the time (W = 0.50) and has a 2:1 payoff ratio (R = 2): Kelly % = 0.50 – [(1 – 0.50) / 2] = 0.50 – 0.25 = 0.25 (or 25% account allocation)."
How to Use This Kelly Criterion Calculator
Enter Your Win Rate
Input your historical win rate as a percentage. Use real trade history or backtest data — the Kelly formula is only as reliable as the stats you feed it. If you use assumptions, the resulting sizing recommendations will be inaccurate.
Enter Your Payoff Ratio
Input the ratio of your average win to your average loss (for example, 2.0 means your average win is twice your average loss). This represents the reward-to-risk ratio of your strategy over a large series of trades.
Read the Kelly Percentage
The calculator returns the full Kelly percentage — the theoretically optimal fraction of your account to risk on the next trade to maximize long-term geometric growth. This is the absolute ceiling of optimal sizing.
Consider Half or Quarter Kelly
Full Kelly sizing produces large swings in account equity and can lead to severe drawdowns during standard statistical losing streaks. Most professional traders use half-Kelly or quarter-Kelly to keep the same long-term edge with far less drawdown volatility.
Kelly Sizing Fractions Compared
Compare full Kelly sizing with safer fractional sizing schemes used by professionals.
| Feature | Fractional Kelly (Half/Quarter)Best | Full Kelly Sizing | Fixed Ratio (1% - 2% Sizing) |
|---|---|---|---|
| Compounding Rate | High & Stable | Theoretically Maximum | Moderate |
| Drawdown Volatility | Low to Moderate | Extremely High | Extremely Low |
| Risk of Account Ruin | Very Low | High (with parameter errors) | None |
| Sensitivity to Stat Errors | Low (highly robust) | High (very sensitive) | None |
Kelly Criterion Calculator — Frequently Asked Questions
- The standard formula is Kelly % = W - [(1 - W) / R], where W is your win rate (expressed as a decimal) and R is your payoff ratio (average win divided by average loss). The output is the percentage of your total account equity that should be risked on a single trade to maximize the long-term compounding growth rate of your capital.
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