Kelly Criterion Calculator
Compute the Kelly fraction — the bet size that maximizes long-term growth for a given edge — plus the more conservative half-Kelly, from a win rate and win/loss ratio.
Calculator
Average win ÷ average loss.
Formula
- Kelly fraction f* = Win rate − (1 − Win rate) ÷ (Win/Loss ratio)
- Half-Kelly = f* ÷ 2
- (Win/Loss ratio = average win ÷ average loss)
How it works
The Kelly criterion gives the fraction of capital that, if reused every bet, maximizes the long-run growth rate of an edge defined by a win rate and a payoff ratio. It is a mathematical optimum, not a recommendation to bet that much.
Full Kelly is notoriously aggressive: it tolerates very deep drawdowns and is extremely sensitive to input errors, so practitioners commonly discuss fractional Kelly (half or quarter) to trade some growth for far less volatility. A negative result means the inputs describe no edge at all.
This tool performs the arithmetic only. Your real win rate and payoff are estimates with uncertainty, and the formula assumes they are stable and known — they never are. Nothing here is advice or a suggested position size.
Example use cases
Edge present
60% win rate with a 2:1 win/loss ratio → full Kelly 40%, half-Kelly 20%.
No edge
50% win rate at 1:1 → Kelly 0% (break-even); a lower win rate goes negative.
Frequently asked questions
Should I actually bet the full Kelly fraction?+
That is a personal risk decision, not something a calculator answers. Full Kelly maximizes growth in theory but produces large drawdowns and is very sensitive to estimation error, which is why fractional Kelly is widely discussed. The tool just shows the math.
What does a negative Kelly fraction mean?+
It means the win rate and payoff you entered describe a negative-expectancy situation — there is no edge to size. The 'suggested' figure is clamped to zero in that case.