Interactive toolRuns in your browser

Kelly Criterion Calculator

Find the growth-optimal Kelly fraction and the safer half-Kelly to stake, from a win probability and payoff ratio — with the usual warnings.

Quick answer: The Kelly criterion gives the fraction of capital that maximises the long-run growth rate of a repeated bet with a known edge. It equals the win probability minus the losing probability divided by the payoff ratio. As a risk tool its real lesson is caution: full Kelly is extremely volatile and unforgiving of estimation error, so this calculator also reports half-Kelly, the fraction most practitioners actually use, and flags when the edge is negative and the correct stake is zero.

Win rate (%)Payoff ratio b (win ÷ loss)

How to use it

Enter your win probability and the payoff ratio b, which is the average win divided by the average loss. The output is the full Kelly fraction and half-Kelly. A negative Kelly means the edge is against you and the growth-optimal stake is zero — that is a signal not to trade at all, not to trade small. Kelly assumes the win rate and payoff are known exactly, which they never are in trading, so treat the number as an upper bound and stake below it.

Formula

Kelly f* = W − ( 1 − W ) ÷ b ; Half-Kelly = f* ÷ 2

W is the win probability as a decimal; b is the payoff ratio (average win divided by average loss). A negative f* means no positive-growth stake exists. Because W and b are estimated from a finite, noisy history, the true edge is uncertain, which is the core reason to fractionally under-bet Kelly.

Frequently asked questions

Why do most people use half-Kelly or less?

Full Kelly produces violent equity swings and assumes your edge is known perfectly. Half-Kelly keeps most of the long-run growth while roughly quartering the variance, which is why fractional Kelly is a common practical compromise between growth and survivability.

What does a negative Kelly fraction mean?

It means the bet has negative expectancy at the inputs given, so the growth-maximising stake is zero. In plain terms, you should not take the trade at all, not take a tiny position.

Why is over-betting so dangerous?

Growth rate rises to a peak at full Kelly then falls sharply beyond it, and staking above Kelly can drive long-run growth negative even with a real edge. Because live win rates are estimates, betting full Kelly on an overestimated edge is effectively over-betting, and over-betting is a direct route to a large drawdown.

Is the Kelly fraction the same as risk per trade?

Not exactly. Kelly is the fraction of capital to expose for growth optimality; the stop-based risk-per-trade percentage is how much you lose if the stop hits. Traders usually translate Kelly into a much smaller practical risk figure precisely because the inputs are uncertain.

Does Kelly account for correlated positions?

No. The basic formula assumes one bet at a time with a fixed payoff. Running several correlated trades at their individual Kelly sizes stacks risk far beyond what the formula intends, so it should be combined with a portfolio-level heat limit.

How reliable are the inputs from a short track record?

Not very. A win rate and payoff measured on a few dozen trades carry wide error bars, and Kelly is sensitive to them. When in doubt, assume your edge is smaller than measured and stake a fraction of the computed figure.

Runs entirely in your browser — no data leaves your device. Illustrative and educational only; real-world charges and market conditions apply in practice.