MTS Institute / Kelly criterion calculator
Kelly criterion calculator
Enter win rate and win to loss ratio to find the full and half Kelly fraction of capital.
How it works
The Kelly formula gives the share of capital that grows wealth fastest in theory. Formula: Kelly = W minus (1 minus W) ÷ R, where W is the win rate and R is the win to loss ratio.
Full Kelly swings wildly in practice, so most traders use half Kelly or less.
Questions
Should I bet full Kelly?
Rarely. Full Kelly assumes your win rate and ratio are exact. Small errors lead to large drawdowns, so half Kelly or less is safer.
What if Kelly is negative?
A negative result means the system has no edge with these numbers. Do not trade it until the numbers improve.
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Take the free course →For education only. Results are estimates based on the numbers you enter and are not investment advice.