Kelly Criterion Calculator
Calculate the Kelly fraction from your win rate and average win/loss ratio, with half and quarter Kelly alongside.
From a large sample of your own trades.
Reward per 1 risked, e.g. 1.5.
Optional, to show the amounts.
Optional, e.g. 30 to risk 30% of full Kelly.
Full Kelly
25%
$2,500.00 at risk per trade
Half Kelly
12.5%
$1,250.00 at risk per trade
Quarter Kelly
6.25%
$625.00 at risk per trade
Edge per trade
+0.375 R
Break-even win rate
40%
at 1 : 1.5
The Kelly % is the share of your balance to risk (lose if the stop is hit), not the position size. It assumes your win rate and R are accurate — overestimate them and full Kelly over-bets, with deep drawdowns (a 50% drawdown is routine at full Kelly). Most traders use ¼ to ½ Kelly.
Show the math
- Kelly fraction f* = W − (1 − W) ÷ R
0.55 − 0.45 ÷ 1.5 = 25% - Half and quarter Kelly
25% ÷ 2 = 12.5%, 25% ÷ 4 = 6.25% - Edge per trade = W × R − (1 − W)
0.55 × 1.5 − 0.45 = +0.375 R - Break-even win rate = 1 ÷ (1 + R)
1 ÷ (1 + 1.5) = 40% - Amount at risk (full Kelly)
$10,000.00 × 25% = $2,500.00
Quick answer
Kelly fraction f = W − (1 − W) ÷ R, where W is the win rate and R the average win ÷ average loss; f is the share of the balance to risk per trade. A 55% win rate at R = 1.5 gives 0.55 − 0.45 ÷ 1.5 = 25%. Most traders use half (12.5%) or a quarter (6.25%) or less, because full Kelly brings deep drawdowns and over-bets when the inputs are overestimated.
Worked examples: Risk management
Kelly fraction by win rate and reward:risk
Each cell is the full Kelly fraction, the share of your balance the formula says to risk per trade: W − (1 − W) ÷ R. Most traders use a quarter to half of it, because full Kelly is extremely volatile and assumes your win rate is known exactly.
| Win rate | R = 1 | R = 1.5 | R = 2 | R = 3 |
|---|---|---|---|---|
| 35% | no edge | no edge | 2.5% | 13.3% |
| 40% | no edge | no edge | 10% | 20% |
| 45% | no edge | 8.3% | 17.5% | 26.7% |
| 50% | no edge | 16.7% | 25% | 33.3% |
| 55% | 10% | 25% | 32.5% | 40% |
| 60% | 20% | 33.3% | 40% | 46.7% |
| 65% | 30% | 41.7% | 47.5% | 53.3% |
R is the average win divided by the average loss. “No edge” means the expected result per trade is zero or negative, so Kelly says not to take the trade at any size.
What is the Kelly Criterion Calculator?
The Kelly criterion, published by John L. Kelly Jr. in 1956, gives the fraction of capital to risk per bet that maximises long-run growth when the odds are known. For trading, the inputs are your win rate (W) and the ratio of average win to average loss (R).
Kelly fraction f = W − (1 − W) ÷ R
With a 55% win rate and R = 1.5: f = 0.55 − 0.45 ÷ 1.5 = 25%. The figure is the share of your balance to risk — the amount lost if the stop is hit — not the position size. A negative result means the strategy has no edge and Kelly says not to trade it.
Full Kelly is aggressive. In the standard continuous model, betting full Kelly gives a 50% chance of the account halving at some point; half Kelly keeps about three-quarters of the growth rate with half the volatility, and its chance of halving falls to 12.5%. If your win rate or R is overestimated, full Kelly over-bets, and betting about twice the true Kelly fraction removes the growth altogether. That is why fractional Kelly is the usual practice.
How to use this calculator
- Win rate — the share of trades that win, from a large sample of your own trades.
- Average win ÷ average loss (R) — e.g. 1.5 if winners average 1.5 times the size of losers.
- Account balance (optional) and Account currency — fill these in to see the amounts to risk.
The result shows full, half and quarter Kelly as a percentage of the balance (and as amounts if you entered one), the edge per trade in R, and the break-even win rate for your R. With no edge, it shows that instead of a fraction. Show the math gives the formula with your numbers; Copy link with these numbers saves the inputs.
Worked example
55% win rate, R = 1.5, $10,000 balance. f = 0.55 − 0.45 ÷ 1.5 = 25%. Half Kelly is 12.5% ($1,250 risked per trade) and quarter Kelly 6.25% ($625). Edge per trade = 0.55 × 1.5 − 0.45 = +0.375R.
40% win rate, R = 2.5. f = 0.40 − 0.60 ÷ 2.5 = 16%; half Kelly 8%, quarter Kelly 4%.
45% win rate, R = 1. f = 0.45 − 0.55 = −10%. The expectancy is −0.1R per trade, so any size loses money on average.
Even quarter Kelly here is well above the 0.5–2% many traders risk per trade — a sign of how sensitive the formula is to the inputs.
When to use it
- Setting an upper limit on risk — use the result as a ceiling, not a target.
- Checking for an edge — a zero or negative Kelly fraction means the statistics do not support trading the strategy.
- Comparing strategies — a larger Kelly fraction reflects a stronger edge relative to its variability.
Common mistakes
- Using full Kelly. The drawdowns are severe, and any overestimate of the edge leads to over-betting.
- Reading the result as position size. It is the share of the balance lost if the stop is hit; the position size calculator turns that into lots.
- Small or optimistic samples. Win rate and R from a few dozen trades, or from a backtest without costs, overstate the edge.
- Ignoring correlation. Several open trades on related pairs act like one larger bet.
Frequently asked questions
Should I use full Kelly or a fraction?
A fraction. Full Kelly maximises long-run growth only if your win rate and R are exactly right, and even then it brings deep drawdowns. Half or quarter Kelly gives up some growth for much smaller swings and some protection against overestimated inputs.
What does a negative Kelly fraction mean?
That the strategy has negative expectancy at that win rate and R: win rate × R − loss rate is below zero. Kelly's answer is to risk nothing until the edge improves.
Why are Kelly percentages so high?
The formula maximises growth and ignores how large the swings are. For a 55% win rate at R = 1.5 it suggests risking 25% per trade, which few traders could tolerate. Treat the result as an upper bound.
Is the Kelly fraction the same as position size?
No. It is the share of the balance to risk — the loss if the stop is hit. To turn it into lots, use it as the risk percentage in the position size calculator together with your stop distance.
How often should I recalculate it?
Whenever your statistics change meaningfully, using a rolling sample of recent trades. Win rate and R drift as market conditions change.
Related calculators
- Risk of Ruin Calculator
Estimate the probability that a strategy reaches a chosen drawdown, from its win rate, reward-to-risk ratio and risk per trade.
- Lot Size & Position Size Calculator
Find the lot size that risks exactly the amount you choose, from your balance, risk per trade and stop-loss distance.
- Risk-Reward Ratio Calculator
Get the risk-reward ratio of a trade and the win rate you need to break even at that ratio.
- Forex Compounding Calculator
Project how an account grows when returns are reinvested, with optional regular deposits.
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