Kelly Criterion Calculator
Free Kelly criterion calculator: enter win probability and reward-to-risk for the optimal bet size — plus the safer half-Kelly most traders should actually use.
The Kelly criterion gives the bet size that maximises long-run compound growth. Enter your win probability and payoff — and see why full Kelly is rarely the right choice.
QuantDojo · Free tool
Kelly Criterion Calculator
The bet size that maximises long-run growth — and why most traders should use a fraction of it.
How it works: f* = W − (1 − W) ÷ R — W = win probability, R = reward-to-risk. Full Kelly maximises growth but swings hard; half- or quarter-Kelly gives up a little growth for far smaller drawdowns.
Educational tool — not financial advice. Kelly assumes your win probability and payoff are known and stable; in real trading they are estimates, which is why fractional Kelly is safer.
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How to use the Kelly criterion calculator
Enter your win probability and your reward-to-risk (payoff). The calculator returns the fraction of your account Kelly says to risk on each bet — the size that maximises long-run compound growth — plus the safer half-Kelly.
There is a catch: full Kelly is brutally volatile and assumes your edge is known exactly. In trading it never is. That is why most experienced traders use half- or quarter-Kelly — you keep most of the growth for a fraction of the drawdown.
Frequently asked questions
What is the Kelly criterion?
A bet-sizing formula: f = W − (1 − W) / R, where W is win probability and R is reward-to-risk. It gives the fraction of capital that maximises the long-run growth rate.
Why use half-Kelly instead of full Kelly?
Full Kelly maximises growth but produces wild equity swings and is unforgiving if your edge estimate is too high. Half-Kelly captures roughly three-quarters of the growth with about half the volatility — a far better real-world trade-off.
What does a negative Kelly mean?
A negative result means you have no edge at those inputs — the formula is telling you not to take the bet at all.
Kelly only works if your win rate and payoff are real. Validate your edge with quantcheck before you size up.