Kelly assumes you know your edge
The math is exact, but the inputs come from your trade history — and small samples lie. If your win rate is built on 30 trades, treat the full-Kelly number as a hypothesis, not a recommendation.
Free trader tools
Kelly Criterion Calculator
Drop in your win rate, average win, and average loss. The calculator returns the full-Kelly stake — and the half- and quarter-Kelly versions that disciplined traders actually use, because full-Kelly drawdowns are real and brutal.
Full Kelly is mathematically optimal and psychologically intolerable. The output is a useful upper bound on size, never a recommendation.
MindTrajour_Kelly
How Kelly actually behaves in real accounts
Three reads to take seriously before you size at any fraction of Kelly.
Drawdowns are bigger than you think
At full Kelly, a 50 % drawdown from peak happens roughly once per year of normal trading even when the math is correct. At half-Kelly that drops to 25 %; at quarter-Kelly, to about 12 %. Pick the variance you can actually emotionally tolerate.
Correlated bets compound risk
Kelly assumes independent trades. Run two correlated trades at half-Kelly each and you are effectively at full-Kelly on the combined position. Most retail edges are at least somewhat correlated — quarter-Kelly is rarely too cautious.
Kelly only works with honest inputs
Knowing your true win rate is half the battle.
MindTrajour shows your win rate by strategy, IV regime, and time-of-day — not just the average that makes Kelly fragile.
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Keep stacking your edge
Other calculators traders pair with this one.
risk
Risk of Ruin Calculator
Punch in your starting balance, win rate, average R and a horizon of trades. We run two calculations side by side: the closed-form risk of ruin (when bets are symmetric) and a 1000-trial Monte Carlo simulation in a web worker — so you see the realistic distribution, not just the headline.
Open toolrisk
Risk/Reward Calculator
Pick a direction, drop in your entry, stop, and target. We hand back the dollar risk, the dollar reward, the R-multiple, and — the number every trader should know cold — the win rate you need to break even at this risk/reward.
Open tooloptions
Probability of Profit Calculator
Pick a method — delta-based for a quick estimate, IV-based for a sharper one — and the calculator returns the probability the trade is profitable at expiration. Both methods exist for a reason; using both is how serious option traders cross-check.
Open toolFrequently asked questions
Everything you need to know before sizing your next trade.