Performance
The growth-optimal fraction, and the reason most traders size well below it.
The growth-optimal fraction, and the reason most traders size well below it. The page states the equation, the units it expects and the rounding it applies, so the result can be reproduced by hand.
A calculator gives you a number. This one feeds the next: account to risk, risk to position size, position size to the trade, and the trade to expectancy, drawdown and risk of ruin.
See the performance tools →Kelly maximises long-run growth. It does not maximise anything you would enjoy experiencing.
A 55% win rate at 1:1 payoff:
Half-Kelly delivers roughly three-quarters of the growth with about half the drawdown. Quarter-Kelly is where most practitioners land, and it is how the conventional 1–2% band gets derived rather than assumed.
Almost certainly not. It assumes your win rate is known exactly, and it produces drawdowns that the recovery arithmetic shows are close to unrecoverable.
A fixed fraction of f* — typically a half or a quarter. It gives up a little growth for a large reduction in drawdown, and it tolerates errors in the inputs.
Because losses compound against a smaller base. Past the optimum, the extra size costs more in drawdown than it earns in gains, and beyond twice Kelly the long-run growth rate turns negative.
A calculator answers one question and raises the next. These are the ones this figure feeds into.
The probability that a losing run takes out a defined share of the account.
Average outcome per trade from win rate and average win and loss. The number win rate hides.
Peak-to-trough decline, and the gain required to climb back out of it.
Kelly Criterion Calculator · rounding shown to the precision displayed