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Kelly Criterion Calculator

Calculate the mathematically optimal position size based on your win rate and risk/reward ratio.

%
R
USD
%
Optimal Position Size
Full Kelly Percentage
25.0%
of account per trade
Optimal risk 25.0%
0% 25% 50%+
Quarter Kelly (25%)
$625
Conservative
Half Kelly (50%)
$1,250
Recommended
Selected Fraction
$1,250
50% Kelly
Full Kelly (100%)
$2,500
Aggressive
You have a positive edge. Expected value per trade: +$469
Kelly says 28.3% — compare with your actual sizing
Trader's Second Brain tracks your real position sizes and shows whether you're actually following the math — or just guessing.

What is the Kelly Criterion?

The Kelly Criterion is a mathematical formula developed by John Kelly in 1956 at Bell Labs. It calculates the optimal size of a series of bets to maximize long-term wealth growth while minimizing the risk of ruin.

Kelly % = W - [(1 - W) / R]
Where W = Win Rate (decimal) and R = Win/Loss Ratio (Risk:Reward)

Why Kelly Matters

Full Kelly vs Fractional Kelly

Approach Risk Level Volatility Best For
Full Kelly (100%) Very High Extreme swings Perfect edge knowledge
Half Kelly (50%) Moderate Manageable Most traders
Quarter Kelly (25%) Low Smooth curve Uncertain edge

Important Caveats

Kelly says bet big. But do you actually do it?

Trader's Second Brain tracks your real position sizes and compares them to what Kelly recommends. See if you're under-betting your edge — or over-betting when you shouldn't.

Compare your sizing

Kelly tells you the size. Your journal tells you the truth.

Trader's Second Brain auto-imports your trades from MT4, MT5, Binance & Bybit — then shows you which setups actually make money and which ones leak profit. One payment, no subscription.

2,400+ traders already use it.
Analyze your trades
Example analysis of position sizing and trade performance

Frequently Asked Questions

What is the Kelly Criterion?
The Kelly Criterion is a mathematical formula that calculates the optimal size of a series of bets to maximize long-term wealth growth. It was developed by John Kelly in 1956 and is widely used in trading and gambling to determine position sizing.
How do you calculate Kelly Criterion for trading?
Kelly % = W - [(1-W) / R], where W is win rate (decimal) and R is win/loss ratio. For example, with 60% win rate and 1.5 R:R: Kelly = 0.60 - (0.40 / 1.5) = 0.60 - 0.267 = 33.3% of account per trade.
Should I use full Kelly or fractional Kelly?
Most traders use Half Kelly (50%) or Quarter Kelly (25%) because full Kelly is very aggressive and assumes perfect knowledge of your edge. Fractional Kelly reduces volatility and accounts for uncertainty in your win rate estimates.
What win rate do I need for positive Kelly?
You need a positive edge for Kelly to be positive. With 1:1 R:R, you need >50% win rate. With 1:2 R:R, you need >33% win rate. If Kelly is negative, you have no edge and shouldn't trade that strategy.
Is Kelly Criterion good for forex trading?
Kelly can guide forex position sizing, but use it cautiously. Full Kelly is too aggressive — most traders use 25-50% Kelly. Also, Kelly assumes you know your true win rate and R:R, which requires extensive backtesting and live trading data.

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