Kelly Criterion Calculator [Free Tool]
Find the optimal fraction of capital to risk given your win rate and payoff — and the safer half-Kelly. Use it as a ceiling on aggression, not a target.
Disclaimer: Trading financial instruments involves risk, and everything on this page is provided for educational purposes only. Nothing here is financial advice or a recommendation to buy or sell any instrument.
Full Kelly
32.50%
Optimal fraction of bankroll to risk
Half Kelly
16.25%
More conservative, commonly recommended
Edge
Positive
Full Kelly maximizes long-term growth but is aggressive. Half Kelly reduces volatility while keeping most of the growth — most traders use half.
How is this calculated?
Kelly f* = p − (1 − p) ÷ b
p = win rate, b = payoff ratio. Half Kelly = f* ÷ 2.
Read the full user guide
Every parameter, formula, and worked example — a complete reference for this tool.
What is the Kelly criterion?
The Kelly criterion answers a deceptively simple question: given a bet you know the odds of, what fraction of your capital should you wager to grow wealth as fast as possible over many repetitions? The formula combines your win rate and payoff into a precise percentage. The catch is that the real world rarely hands you known odds — estimates are noisy, and full Kelly swings hard — which is why most practitioners trade a fraction of the number. Treat Kelly as a ceiling on aggression, not a target.
Key concepts
Optimal fraction
The stake that maximizes the expected logarithm of wealth growth.
Inputs
Win probability and the win/loss payoff ratio.
Fractional Kelly
Using a fraction (e.g. half-Kelly) to trade growth for lower volatility.
A worked example with real numbers
- 1
Enter the odds
Your backtest wins 60% of trades with a 1:1 payoff (win as much as you lose).
- 2
Apply the formula
Kelly % = 0.60 − (1 − 0.60) ÷ 1 = 0.20, so full Kelly says stake 20% of capital.
- 3
Calibrate to reality
Full Kelly swings hard and assumes your 60% is exact. Half-Kelly stakes 10%, trading some growth for far smaller swings.
- 4
Set the guardrail
With uncertain inputs, a fraction of Kelly — often quarter to half — is the practical number most traders actually use.
How to use it
Enter win rate
The probability of a winning trade.
Enter payoff
The win/loss ratio.
Read the Kelly fraction
The suggested fraction of capital to risk.
The formula, step by step
Kelly
Kelly % = p − (1 − p) ÷ b
p = win probability, b = win/loss payoff ratio.
Mistakes traders make
✗ Betting full Kelly on an estimated edge
✓Full Kelly is optimal only if your win rate and payoff are exactly right. Estimation error makes full Kelly ruinously aggressive.
✗ Treating a negative Kelly result as 'just small'
✓Negative Kelly means negative expectation — the correct bet size is zero. Do not trade the setup at all.
✗ Using Kelly for one-shot bets instead of many repetitions
✓Kelly maximizes growth over a long series of bets. Applied to a single trade it overstates the safe stake.
When this tool fits — and when it does not
Use it when
- ✓As a theoretical ceiling on how aggressive a strategy should be.
- ✓Translating a known edge into a reference stake size.
- ✓As a sanity check when a tempting position size looks too good.
Skip it when
- ✗Betting full Kelly on estimated probabilities.
- ✗Using it to justify position sizes larger than your risk tolerance.
- ✗Ignoring that fractional Kelly is what serious practitioners actually run.
Practical tips that actually help
Treat Kelly as a ceiling, not a target
The formula gives the maximum growth stake. A fraction below it is almost always the wiser live size.
Shrink the fraction as uncertainty grows
The less sure you are of the win rate, the smaller the fraction — quarter-Kelly is a reasonable default.
Be honest about the inputs
Backtest win rates flatter the future. Discount the edge you think you have before plugging it in.
Related & next steps
Frequently asked questions
Should I bet full Kelly?▾
Most practitioners do not. Full Kelly maximizes growth but with large swings; fractional Kelly is more forgiving of estimation error in win rate and payoff.
What happens if my win rate estimate is wrong?▾
Kelly is punishing to overconfidence. Overestimating your edge inflates the suggested stake, and betting above the true optimum can turn a positive-expectancy game into a losing one through ruinous swings.
Why does Kelly maximize growth rather than profit?▾
Because it optimizes the log of wealth, which balances growing fast against staying solvent. A slightly smaller bet grows a little slower but survives unlucky streaks, which is what matters over long horizons.
What does a negative Kelly percentage mean?▾
It means the trade has a negative expectation for the given win rate and payoff — the mathematically correct bet size is zero. Do not take the trade at all.
How does Kelly relate to fixed fractional risk?▾
Kelly gives the optimal fraction for known odds; fixed fractional risk is a simpler, more forgiving cousin. Many traders use a fixed 1–2% risk as a practical stand-in for a conservative fraction of full Kelly.
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Kelly assumes accurate inputs of win rate and payoff; estimation error can make full Kelly dangerous.
Disclaimer: The tools and content on this site are provided for educational purposes only and do not constitute investment advice. Trading and investing involve a substantial risk of loss, and past performance does not guarantee future results.