Kelly Criterion Calculator
Use the Kelly criterion with win rate and payoff ratio to find the growth-optimal fraction to risk (negative means no bet).
Results
Fill in the inputs and click Calculate.
- Suggested Position (Kelly)
- –
Risk disclaimer
This calculator provides a mathematical reference only, not financial advice. Kelly depends on accurate win-rate and payoff estimates; errors can cause severe drawdowns.
What is the Kelly criterion?
Kelly: f = (b·p − q) ÷ b, where p is win rate, q = 1 − p and b is the payoff ratio. It maximizes long-run bankroll growth.
Full Kelly is volatile and sensitive to estimates; half or quarter Kelly is common practice, and never exceed full Kelly.
How to use
- Enter your historical win rate in percent (e.g. 60 = 60%).
- Enter the payoff ratio (e.g. 2 means you win 2 for every 1 risked).
- Click Calculate for the suggested fraction; negative means negative expectancy — no bet.
Formula
- f = (Payoff × Win Rate − (1 − Win Rate)) ÷ Payoff
Example
60% win rate, payoff 1: f = (0.6 − 0.4) ÷ 1 = 20% of bankroll.
60% win rate, payoff 2: f = (1.2 − 0.4) ÷ 2 = 40%.
FAQ
Can the result be negative?
Yes. Negative expectancy from the win rate/payoff combination gives a negative fraction — don't bet.
Should I use full Kelly?
Full Kelly is very volatile and sensitive to estimates. Many use half Kelly (halve the result) or quarter Kelly.
Can these calculations be executed automatically?
Yes. Work out the parameters and risk limits here first, then hand the same rules to a quant system such as CubeQuants so you don't have to place orders manually. Fills still depend on your exchange, so verify with a small size first.