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.