Kelly Criterion Calculator for Trading

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Win rate (%) Reward : risk (average win ÷ average loss)

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Warning: full Kelly assumes your win rate and reward : risk are known exactly and never change. Real results are noisy, so full Kelly risk leads to deep drawdowns, and a win rate that is a few points too optimistic turns it into over-betting. Most professionals risk half Kelly or less, and prop firm rules (a 4-5% daily loss limit) make even that too big: there, 0.25% to 1% per trade is common.

How to use the Kelly criterion calculator

Enter your win rate in % from at least 50 to 100 trades of the same setup.
Enter your reward : risk as average win divided by average loss (for example 2 for 1 : 2).
Read full, half and quarter Kelly. Treat full Kelly as a ceiling, never as a target.

The Kelly formula for trading

Kelly % = W − (1 − W) ÷ R, where W is the win rate (as a decimal) and R is the average win divided by the average loss.

The result is the share of the account that maximises long-run growth if every number is exact. A negative result means the method has no edge and the right bet is nothing.

Worked example

Win rate 50%, average win twice the average loss (R = 2): Kelly = 0.50 − 0.50 ÷ 2 = 25% of the account.
Half Kelly = 12.5%, quarter Kelly = 6.25%. Even a quarter of Kelly is far above the 1-2% most traders risk.
With a 40% win rate at 1 : 1 the result is 0.40 − 0.60 = −20%: no edge, do not trade the method.

Why the gap between Kelly and the 1% rule? Kelly ignores losing streaks you can live with. At 25% risk, five losses in a row (which happens often at a 50% win rate) cut the account by 76%. Check any size with the risk of ruin calculator and the drawdown recovery table.

Where Kelly is useful

As an upper limit: never risk more than Kelly; above it growth falls and ruin rises.
As a test of edge: a Kelly near 0 means the edge is too thin to be worth the risk.
To compare setups: a setup with a higher Kelly has a stronger edge per unit of risk.

Your win rate and reward : risk should come from your journal, per setup. The expectancy calculator and the win rate calculator help with both.

Get your real win rate and reward : risk

ICC Zillas measures them per setup from your synced or imported trades, so the Kelly inputs are your numbers, not guesses. 30-day free trial, no card needed.

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Kelly sizing is a model, not a recommendation. It is not financial advice. Trading with leverage carries a high risk of loss.

Questions

What is the Kelly criterion in trading?

A formula for the share of the account to risk per trade that maximises long-run growth: win rate minus loss rate divided by the reward : risk.

Why do traders use half Kelly?

Half Kelly keeps about three quarters of the growth of full Kelly with much smaller drawdowns, and it protects you when your win rate is lower than you think.

What does a negative Kelly mean?

The method has no edge with these numbers. The best size is zero: improve the method before trading it.

Is the Kelly criterion good for prop firm challenges?

Not directly. Daily and maximum loss limits end the challenge long before Kelly's drawdowns would recover, so prop traders usually risk 0.25% to 1% per trade.

Is my data sent anywhere?

No. The calculator runs in your browser and does not send or store what you type.

Kelly criterion calculator for trading