Find the share of your account to risk per trade that grows it fastest over the long run, given your win rate and how big your wins are compared with your losses.
Full Kelly: risk per trade
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Half Kelly
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Quarter Kelly
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Edge per $1 risked
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Growth per trade at full Kelly
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Long run growth at each bet size
How it works
The Kelly criterion finds the bet size that maximizes the long run growth of an account. Bet less and you grow more slowly; bet more and the losing streaks start to do more harm than the wins do good.
Full Kelly assumes your win rate and payoff are known exactly, which they never are, and it brings deep drawdowns. Many traders use half or a quarter of it.
The formula
Kelly % = W − (1 − W) ÷ R
W = win rate, R = average win ÷ average loss
Growth per trade = W × ln(1 + R × f) + (1 − W) × ln(1 − f), for a bet size f
Worked example
With a 55% win rate and wins 1.5 times the size of losses, Kelly = 0.55 − 0.45 ÷ 1.5 = 25%. Half Kelly is 12.5% and quarter Kelly 6.25%. Each $1 risked earns about 37.5 cents on average.
Kelly Criterion questions
Should I bet full Kelly?
Usually not. Your real win rate is an estimate, and overestimating it pushes you past the best size, where risk climbs fast. Half Kelly keeps most of the growth with much smaller drawdowns.
What if Kelly comes out negative?
Then the numbers show no edge: on average the strategy loses money, and the best bet size is zero.
Does Kelly mean the share of my account to put in a trade?
It is the share to risk, meaning what you lose if the trade fails. Use it with your stop distance to set the position size.
For informational and educational purposes only. Not investment advice, and not a recommendation to buy or sell any security. Results are estimates from the numbers you enter.