Kelly Criterion Optimal Position Sizing & Half-Kelly Calculator

Optimize capital allocation per trade using the Kelly Criterion growth formula.

Optimal Fractional-Kelly Allocation
USD 7,125.00
Adjusted Kelly Percentage 14.25 %
Full-Kelly Percentage (1.0×) 28.5 %
Expected Edge per USD 1.00 Risked USD 0.46
Inputs
Amounts are treated in the selected currency; no foreign-exchange conversion is applied.
USD
Total trading or investment capital.
%
Historical or expected win rate percentage (%).
: 1
Average winning payoff divided by average losing trade.
×
Fractional Kelly multiplier (0.5 = Half-Kelly for lower drawdown).
Results & Graph
Optimal Fractional-Kelly Allocation
USD 7,125.00
Adjusted Kelly Percentage
14.25 %
Full-Kelly Percentage (1.0×)
28.5 %
Expected Edge per USD 1.00 Risked
USD 0.46

Optimal Fractional-Kelly Allocation

Graph 1 • Bankroll Amount Sensitivity Recalculates the domain equation across 50% to 150% of the primary input while holding other parameters constant.
0 USD 5.8k USD 11.5k USD 50%: 3,562.5 USD 3.6k 50% 75%: 5,343.75 USD 5.3k 75% 100%: 7,125 USD 7.1k 100% 125%: 8,906.25 USD 8.9k 125% 150%: 10,687.5 USD 10.7k 150%
Graph 2 • Primary & Supporting Metric Comparison Compares the primary output alongside supporting domain benchmarks.
Optimal Fractional-Kelly Allocation USD 7,125.00 Adjusted Kelly Percentage 14.25 % Full-Kelly Percentage (1.0×) 28.5 % Expected Edge per USD 1.00 Risked USD 0.46
Graph 3 • Exact Output Table & Units Displays each calculated output in its exact domain unit.
Optimal Fractional-Kelly AllocationUSD 7,125.00Adjusted Kelly Percentage14.25 %Full-Kelly Percentage (1.0×)28.5 %Expected Edge per USD 1.00 RiskedUSD 0.46
Summary: Full Kelly is 28.5% of capital; at 0.5× Kelly fraction, allocate 14.25% (USD 7,125.00).
Summary: Full Kelly is 28.5% of capital; at 0.5× Kelly fraction, allocate 14.25% (USD 7,125.00).
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Formula & Mathematical Methodology: Kelly Criterion Mathematical Formula

Kelly% = W − (1 − W) / R, where W = win probability and R = average win / average loss
Kelly% = W − (1 − W) / R, where W = win probability and R = average win / average loss
  • bankrollAmount: Bankroll Amount (USD)
  • winProbabilityPct: Win Probability Pct (%)
  • rewardToRiskRatio: Reward To Risk Ratio (: 1)
  • kellyFraction: Kelly Fraction (×)

Rounding: Intermediate calculations retain full IEEE-754 floating-point precision; displayed currency and ratios round to 2 decimal places.

Worked Example: Benchmark Scenario: Kelly Criterion

Optimize capital allocation per trade using the Kelly Criterion growth formula.

  1. Enter the portfolio, option, lease, or corporate balance-sheet inputs.
  2. Evaluate the core equation: Kelly% = W − (1 − W) / R, where W = win probability and R = average win / average loss.
  3. Inspect the primary valuation output, risk metrics, and 3 visual SVG graphs.
Result: Computes Kelly Criterion using Kelly% = W − (1 − W) / R, where W = win probability and R = average win / average loss.

Frequently Asked Questions

How does the Kelly Criterion Optimal Position Sizing & Half-Kelly Calculator calculate results?

It evaluates Kelly% = W − (1 − W) / R, where W = win probability and R = average win / average loss directly in your browser and updates the three domain SVG visualizations immediately as you adjust any input.

Can I compare multiple investment or financing scenarios side by side?

Yes. Click "Compare (0/3)" in the results toolbar to pin up to three scenarios side by side.

Are my financial numbers kept private?

Yes. All calculations run 100% locally in your browser with zero server uploads.

Finance & Investing · Quantitative Investing & Derivatives

Kelly Criterion Optimal Position Sizing & Half-Kelly Calculator: inputs, method, and how to read the result

Optimize capital allocation per trade using the Kelly Criterion growth formula.

Choose inputs for the case you are checking

The defaults are illustrative. Replace them with values for your case and keep the units shown beside each field.

  • Display Currency: Amounts are treated in the selected currency; no foreign-exchange conversion is applied.
  • Bankroll Amount: Total trading or investment capital.
  • Win Probability Pct: Historical or expected win rate percentage (%).
  • Reward To Risk Ratio: Average winning payoff divided by average losing trade.

What the calculation includes

With the default values shown, Optimal Fractional-Kelly Allocation is USD 7,125.00. The calculation follows Kelly Criterion Mathematical Formula; the formula and variable definitions above show how the inputs combine.

One-input check: With the other defaults held constant, changing Bankroll Amount from 50,000 USD to 55,000 USD changes Optimal Fractional-Kelly Allocation from USD 7,125.00 to USD 7,837.50. This is a comparison inside the calculator's stated model, not a prediction.

Where to use caution

  • Uses standard quantitative finance, GAAP/IFRS operating ratios, and continuous/periodic compounding conventions.
  • For educational and analytical modeling only; consult a licensed CPA, CFA, or fiduciary advisor before executing tax or derivative transactions.

Scope: Global Financial & Corporate Valuation Standard Check the assumptions and limitations against your situation before relying on the estimate.

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