Kelly Criterion Calculator
Work out the growth-optimal fraction of your capital to risk on a repeated favourable bet, plus the safer half- and quarter-Kelly sizes most traders actually use.
Educational estimate only, not investment, tax, or financial advice or a recommendation to buy or sell any security. Investing and options involve risk of loss; verify independently. By using this tool you accept our Terms and Disclaimer.
How it works
The Kelly criterion maximises the long-run growth rate of your capital. Bet too little and you leave growth on the table; bet too much and volatility (and ruin risk) balloons. It needs two inputs: your probability of winning, and the payoff ratio b (how many units you win per unit risked).
Full Kelly is aggressive (its swings are large) so practitioners commonly use half or quarter Kelly, which keep most of the growth with far less volatility. If your edge is negative, Kelly says bet nothing.
Worked example
Win probability 55%, payoff ratio b = 2:
- Edge = b·p − q = 2×0.55 − 0.45 = 0.65 per unit.
- Full Kelly = (b·p − q)/b = 0.65 / 2 = 32.5% of capital.
- Half Kelly = 16.25%; quarter Kelly = 8.125%.
The formula
p = win probability ; q = 1 − p ; b = win/loss payoff ratio full Kelly = (b·p − q) / b (clamped to 0 if negative) suggested = full Kelly × sizing multiplier (1, 0.5, 0.25)
FAQ
- What is the payoff ratio b?
- How much you win per unit risked, e.g. b = 2 means a win returns twice your stake.
- Why use half or quarter Kelly?
- Full Kelly is very volatile. Fractional Kelly keeps most of the growth with much smaller drawdowns.
- What if the result is zero?
- Your edge is negative. Kelly says don't take the bet.
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