Kelly Calculator
The Kelly criterion turns an edge into an allocation size that maximizes long-run growth. Enter your returns and either your true probability or your edge.
Track this automatically on your real positions
This runs one number, once. Yoseri applies the same math to every position you take — sizing, CLV and ROI computed for you, live on your dashboard. Free to start, no card.
The method.
What it does
Kelly sizes each position as a fraction of your portfolio proportional to your edge. More edge ⇒ bigger allocation; no edge ⇒ no position. It maximizes geometric (compounding) growth, not single-position expectation.
Why fractional Kelly
Full Kelly is mathematically optimal but brutally volatile — a small probability error can wreck you. Most professionals allocate half or quarter Kelly to cut variance while keeping most of the growth.
The 10% cap
This calculator caps any single allocation at 10% of portfolio, mirroring Yoseri's engine. It's a guardrail against overconfidence in your probability estimate.
- f*— fraction of your portfolio to allocate
- b— net decimal return (your returns − 1)
- p— your estimated win probability
- q— 1 − p (your loss probability)
Full Kelly is optimal but violent — most professionals use ½ or ¼ of f* to cut variance while keeping most of the growth.
Returns of 2.50, and you estimate a 45% chance of winning.
- 1.b = 2.50 − 1 = 1.50
- 2.p = 0.45, q = 0.55
- 3.f* = (1.50 × 0.45 − 0.55) / 1.50
- 4.f* = 0.125 / 1.50 = 0.083
- Your p is an estimate, not the truth — overstate it and Kelly overbets fast.
- Full Kelly swings hard; 30–50% drawdowns are normal even with a real edge.
- Kelly assumes independent positions — correlated ones stack risk beyond what f* sees.
Educational only — not trading advice. Calculators and simulations are illustrative; past results and simulated outcomes don’t guarantee future returns. Position responsibly.
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