Kelly Criterion Calculator (with Half & Quarter Kelly)
The Kelly Criterion tells you the mathematically optimal fraction of your account to risk on each trade. Enter your win rate and average win/loss size — we'll calculate the full Kelly percentage, the more conservative half-Kelly and quarter-Kelly fractions most pros actually use, and your recommended dollar risk per trade. The formula is f = W − ((1 − W) ÷ R).
Results
Kelly fraction
32.50%
The mathematically optimal % of account to risk per trade. Theoretical maximum growth rate.
Half-Kelly
16.25%
What most pros actually use — same expected return, ~75% less drawdown variance.
Quarter-Kelly
8.13%
Conservative. Slower growth but psychologically survivable during losing streaks.
Recommended risk per trade (full Kelly)
$8,125.00
Based on your account size + full Kelly fraction.
Recommended risk per trade (half-Kelly)
$4,062.50
The more livable number for most retail traders.
Expected value per trade
$2,640.63
Avg per-trade profit at half-Kelly sizing. Negative = your edge is too thin to size up.
Results update live as you change inputs. This calculator runs entirely in your browser — your numbers are never sent to a server.
Worked example
You win 55% of the time, your average winner is $200, your average loser is $100. Win/loss ratio R = 2. Plugging in: Kelly = 0.55 − (0.45 ÷ 2) = 0.325 = 32.5%. That's the theoretical max — but full Kelly is brutally volatile (you'd routinely see 50%+ drawdowns). Half-Kelly = 16.25% is what most pros use: same long-run expected return, far smaller drawdowns. At a $25,000 account, half-Kelly means risking ~$4,062 per trade.
Frequently asked questions
What is the Kelly Criterion?
The Kelly Criterion is a formula developed by John Kelly at Bell Labs in 1956 that tells you the mathematically optimal fraction of your bankroll to bet (or risk on a trade) to maximize long-term geometric growth. It accounts for both your edge (win rate) and your odds (win/loss ratio).
Why do most traders use half-Kelly instead of full Kelly?
Full Kelly maximizes expected growth but also maximizes volatility. It routinely produces 50%+ drawdowns that are psychologically (and often financially) unsurvivable. Half-Kelly captures about 75% of full Kelly's expected return with roughly 25% of the variance — a much better risk-adjusted outcome for most traders.
What if Kelly tells me to risk 50% of my account per trade?
That means your inputs are either very optimistic or your edge is genuinely huge. In practice, never risk more than 1-2% of your account per trade regardless of what Kelly says — even half-Kelly on a great strategy rarely exceeds 5%. Use Kelly as a directional signal (am I undersizing?), not an absolute prescription.
What if my Kelly result is 0% or negative?
A 0% or negative Kelly means your win rate and win/loss ratio combine to give you no statistical edge — you'd lose money in the long run trading this strategy. Either your inputs are wrong (small sample size?), or the strategy isn't profitable and you should stop trading it.
Should I use Kelly for swing trades, day trades, or both?
Kelly works for any series of binary win/loss bets, including both swing and day trades — but only if your inputs are reliable. You need at least 30-50 closed trades to have a meaningful win rate estimate, and your avg win / avg loss should be measured on similar setup types, not pooled across strategies.
How is Kelly different from fixed-percent position sizing?
Fixed-percent (e.g., 'always risk 1%') treats every trade as equally important. Kelly adjusts position size based on your statistical edge — bigger when your edge is bigger, smaller (or zero) when it isn't. Kelly is more aggressive when you have a real edge and more defensive when you don't, but it requires accurate inputs.