Kelly Criterion Calculator
Calculate the mathematically optimal percentage of your account to risk per trade for maximum long-term growth.
Free — no signup, no ads, instant results
Inputs
Results
Full Kelly
32.50%
Half Kelly (Recommended)
16.25%
Quarter Kelly (Conservative)
8.13%
The Kelly Criterion suggests risking 32.5% of your account per trade for maximum long-term growth.
Most traders use Half Kelly (16.3%) to reduce volatility while capturing ~75% of the growth rate.
Who Is This For?
This calculator is for traders who know their win rate and average win/loss ratio and want to determine how much of their account to risk per trade. It is used by poker players, sports bettors, stock traders, and forex traders to find the position size that maximizes long-term growth without excessive drawdowns.
When to Use This Calculator
- After determining your strategy's win rate and average R:R from backtesting or live data
- When deciding how much to risk per trade — especially if you currently use an arbitrary number like "2% per trade"
- When scaling up a proven strategy — Kelly tells you the maximum safe risk level
- When comparing strategies — higher Kelly means a stronger edge
Formula
Kelly % = W - (L / R)
Where W = win rate (decimal), L = loss rate (1 - W), and R = win/loss ratio (average win / average loss).
Worked Example
Scenario: A trader has a 60% win rate and a 1.5:1 win/loss ratio (average win $150, average loss $100).
Step 1: W = 0.60, L = 0.40, R = 1.5
Step 2: Kelly = 0.60 - (0.40 / 1.5) = 0.60 - 0.267 = 33.3%
Step 3: Half Kelly = 16.7%, Quarter Kelly = 8.3%
Result: Full Kelly suggests risking 33.3% per trade, but most traders would use Half Kelly (16.7%) for smoother equity growth, or Quarter Kelly (8.3%) for conservative sizing.
Assumptions & Edge Cases
- Assumes binary outcomes — each trade either wins the average win or loses the average loss
- Full Kelly is aggressive and produces large drawdowns in practice — always use fractional Kelly
- Kelly is only valid if your win rate and R:R are estimated accurately from sufficient data (100+ trades)
- If Kelly is negative, the strategy has no edge — do not trade it
- Kelly does not account for correlation between trades or position overlap
- Combine with the Risk of Ruin Calculator to check how safe your chosen risk level is
Frequently Asked Questions
The Kelly Criterion is a mathematical formula that determines the optimal percentage of your capital to risk on each trade to maximize long-term growth. It was developed by John Kelly at Bell Labs in 1956 and is widely used in trading and investing.
For trading, Kelly % = W - (L / R), where W is your win rate, L is your loss rate (1 - W), and R is your win/loss ratio (average win divided by average loss). If Kelly is negative, the strategy has no edge and you should not risk capital.
Most professional traders use half Kelly (50% of the full Kelly amount). Full Kelly maximizes growth rate but creates extreme volatility — drawdowns of 50%+ are common. Half Kelly captures about 75% of the growth rate with significantly less volatility.
A negative Kelly means your strategy has a negative expected value — you lose money on average per trade. Do not risk capital on a negative-Kelly strategy. You need to either improve your win rate or your win/loss ratio before trading.