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Kelly Criterion Calculator
The growth-optimal position fraction from your edge. Enter your win rate and reward-to-risk — we'll show full, half, and quarter-Kelly (and warn you if the math says you have no edge).
Estimate only, not financial advice.
How it's calculated
Half-Kelly = Full Kelly × 0.5
Quarter-Kelly = Full Kelly × 0.25
- W — win rate as a decimal (55% = 0.55)
- b — reward:risk — your average win divided by your average loss
- Full Kelly — the fraction of capital to risk per trade; zero or negative means no edge
Worked example
Your journal shows a 55% win rate and a 1.5 reward:risk.
Full Kelly = 0.55 − 0.45 ÷ 1.5 = 0.55 − 0.30 = 25%.
Half-Kelly = 12.5%, quarter-Kelly = 6.25%. On a $10,000 account, quarter-Kelly means risking $625 per trade — still aggressive, which is why many traders cap risk well below Kelly.
Run it on your real trades
SignalDeck computes all of this automatically from your journaled trades — R-multiple, expectancy, SQN, Kelly, drawdown. Free during beta.
Journal in SignalDeck — FreeMore tools
Frequently Asked Questions
What is the Kelly Criterion?
Kelly gives the bet size that maximizes long-run growth. For trading: Kelly % = W − (1 − W) / R, where W is win rate (decimal) and R is your average win divided by average loss. If it's zero or negative, the math says you have no edge — don't size up.
Why do traders use half-Kelly?
Full Kelly is the growth-optimal size but extremely volatile, and it's unforgiving if your win-rate/edge estimates are even slightly off. Most traders use half- or quarter-Kelly: you give up a little growth for a large reduction in drawdown and estimation risk.
What is a good Kelly fraction?
Most traders use between quarter-Kelly and half-Kelly, i.e. 25–50% of the full Kelly figure. Half-Kelly keeps about three-quarters of full Kelly's long-run growth rate while roughly halving volatility, and quarter-Kelly is common when your win rate and reward:risk come from a small sample.
What does a negative Kelly percentage mean?
A zero or negative Kelly percentage means your inputs show no positive expectancy, so the growth-optimal position size is zero. For example, a 35% win rate at 1.5:1 reward:risk gives 0.35 − 0.65 ÷ 1.5 = −8.33%.
Is the Kelly percentage the amount to risk per trade?
Yes — here the Kelly percentage is the fraction of your account you would lose if the trade hits its stop, not the notional size of the position. To turn it into a position size, divide that dollar risk by your stop distance per unit.
Turn a Kelly fraction into shares, lots or contracts with the SignalDeck position size calculator, and track the win rate and reward:risk behind it in SignalDeck Analytics.