Win rate (%)
Risk:Reward ratio
Account balance ($, optional)
Result (click to copy)
Frequently Asked Questions
What is the Kelly Criterion?
The Kelly Criterion is a mathematical formula that calculates the optimal fraction of your capital to risk on each trade to maximise long-term growth: Kelly% = Win Rate − (Loss Rate ÷ Risk:Reward). A positive Kelly% means you have a positive edge; negative means you don't.
Why use Half-Kelly instead of Full Kelly?
Full Kelly maximises long-term growth mathematically, but creates massive drawdowns in practice — sometimes 50%+ swings. Half-Kelly gives approximately 75% of the growth with dramatically lower variance. Most professional traders and quant funds use fractional Kelly (25-50%) for this reason.
What does a negative Kelly mean?
A negative Kelly means your strategy has no mathematical edge — you're expected to lose money over time. This happens when your win rate is too low for your R:R ratio (or vice versa). Fix: increase your win rate, increase your R:R, or both.
Is Kelly Criterion suitable for prop firm trading?
Yes, but use conservative fractions (Quarter-Kelly or less). Prop firms have strict drawdown limits that punish large position sizes during losing streaks. The Kelly Criterion tells you your mathematical edge — combine it with your firm's daily drawdown limit to set your actual risk per trade.