Kelly criterion simulator
How big should each position be?
Simulated equity, log scale
Starting at 1.00xTwice Kelly usually ends worse than full Kelly despite taking more risk. Half Kelly gives up some growth for a much smaller worst drawdown.
A lesson in sizing risk, not a betting tool. Simulated paths are not predictions, and real edges are never known exactly. Ignores fees and slippage. For education only. Not financial advice.
How to read the result
Technical
Kelly fraction f* = p − (1 − p) / b, where p is the win rate and b is the payoff ratio.
Plain English
It's the bet size that grows money fastest if you know your edge exactly. You never do.
Technical
Half Kelly gives up about a quarter of the growth for much smaller drawdowns.
Plain English
Betting less than the formula says is how professionals survive being wrong about their edge.
A worked example
A 55% win rate with a 1:1 payoff gives a Kelly fraction of 10%. Half Kelly is 5% per trade.
What it can't tell you
- It assumes you know your true win rate and payoff. Estimates are noisy.
- Simulated paths aren't predictions.
- It ignores fees, slippage and the psychology of a drawdown.
From the carousel: Full, half or quarter Kelly?
For education only. Not financial advice.