Risk and position sizing
Kelly Criterion Calculator for Traders
Turn your win rate and your average win and loss into the Kelly fraction, then see what half Kelly, quarter Kelly and a fixed 0.5–2% risk would mean for growth and for losing streaks.
Kelly criterion calculator
- Full Kelly
- 17.5%
- of the account at risk per trade
- Half Kelly
- 8.75%
- Quarter Kelly
- 4.38%
- Payoff ratio
- 2
- Expectancy per trade
- +0.35R
| Risk per trade | Share of the best long-run growth | Left after 10 losses in a row |
|---|---|---|
| Full Kelly 17.5% | 100% | 14.6% |
| Half Kelly 8.75% | 76% | 40.0% |
| Quarter Kelly 4.38% | 45% | 63.9% |
| Fixed 2% | 22% | 81.7% |
| Fixed 1% | 12% | 90.4% |
| Fixed 0.5% | 6% | 95.1% |
Your win rate and payoff are estimates from a limited sample, and full Kelly assumes they are exact. Overestimate them and you bet past Kelly, where growth falls and drawdowns deepen. Even exact full Kelly can halve the account along the way; most traders use a quarter of Kelly or less, or a fixed 0.5–2% per trade.
Use your average win and loss after costs, in the same unit. The result is the share of the account you lose if the stop is hit, not the size of the position.
The calculator runs in your browser. Nothing you type is saved or sent anywhere.
Educational tool, not financial advice. The results only reflect the numbers you enter and say nothing about future returns. Trading involves a substantial risk of loss.
How to use the Kelly criterion calculator
- Enter your win rate: the share of trades that ended in profit, from a journal or a backtest with enough trades.
- Enter your average win and average loss after costs, both in R multiples or both in dollars. Only their ratio matters.
- Read the full Kelly fraction: the share of the account to lose on a stopped-out trade if your numbers were exact.
- Compare the rows of the table: half and quarter Kelly, then a fixed 2%, 1% and 0.5% risk, with their share of the best long-run growth and what ten losses in a row would leave.
- Turn the risk you choose into shares with the position size calculator.
The Kelly formula in plain words
Kelly answers one question: which fraction of the account, risked on every trade, makes it grow fastest over many trades? The answer is the win rate minus the loss rate divided by the payoff ratio. A higher win rate or a bigger payoff raises the fraction; a zero or negative edge gives zero or less, which means no bet.
The fraction is the amount you lose when the stop is hit, not the size of the position. It is only the best bet if the inputs are exact: risking twice Kelly brings long-run growth down to about zero, and beyond that the account shrinks even with a real edge.
Payoff ratio R = average win ÷ average loss
Full Kelly f* = W − (1 − W) ÷ R
The same thing: f* = expectancy in R ÷ R
Half Kelly = f* ÷ 2; quarter Kelly = f* ÷ 4
Worked example
A hypothetical journal of 300 trades shows a hit rate of 45%, an average win of 2R and an average loss of 1R, after costs. The account is $20,000.
- Payoff ratio: 2R ÷ 1R = 2.
- Full Kelly: 0.45 − 0.55 ÷ 2 = 0.175, so 17.5% of the account, or $3,500 at risk on every trade.
- Half Kelly: 8.75% ($1,750). Quarter Kelly: about 4.4% ($875).
- Ten losses in a row at full Kelly leave 0.825¹⁰ ≈ 14.6% of the account; at a fixed 1% they leave about 90.4%.
- A fixed 1% risk ($200) is about a seventeenth of full Kelly and keeps roughly 12% of its long-run growth rate, with far smaller swings.
The numbers are hypothetical, chosen to show the arithmetic.
Questions
Should I bet full Kelly?
Almost no trader does. Your win rate and payoff are estimates, and if the true edge is smaller, full Kelly becomes over-betting. Even with exact numbers it brings drawdowns of half the account or more. Half Kelly keeps about three quarters of the growth with much smaller swings, and many traders stay at a quarter of Kelly or at a fixed 0.5–2%.
What does a negative Kelly mean?
That the expectancy is zero or negative: with that win rate and payoff, the average trade loses money, so the calculator shows “no bet”. Recheck the setup, the costs and the sample before risking anything on it; see trading expectancy.
How many trades do I need for a reliable win rate?
More than most people think. With 100 trades and a true hit rate of 45%, the measured rate can easily land anywhere from about 35% to 55%, and with a payoff of 2 Kelly swings from almost zero to more than 30% across that range. Use a few hundred trades and a cautious estimate; backtest overfitting explains why backtested numbers usually come out too good.
Is the Kelly fraction the same as position size?
No. Kelly gives the share of the account you lose if the stop is hit. The number of shares also depends on the stop distance: account × fraction ÷ (entry − stop). The position size calculator does that step.
UpTickFlow is our product. These guides are education, not financial advice. Trading involves a substantial risk of loss.