Kelly Criterion Calculator
Estimate Kelly fraction from win probability and payoff R; negative edge returns zero.
Calculate
Results
From estimate to a live bot scenario
Carry the same logic into Veles: set comparable parameters, preview the order grid, then backtest before you launch.
- Match direction, leverage, grid, Martingale, and TP/SL
- Inspect orders, capital allocation, and average entry
- Stress-test fees, drawdown, and MAE in a backtest
Assumptions & conventions
- f = p − (1−p)/R; negative edge → 0.
- Educational sizing model — not a betting or trading system; ignores serial correlation and drawdowns.
- Suggested 25% cap is a conservative display hint, not exchange margin.
Frequently asked questions
What is the Kelly formula used here?
f = p − (1−p)/R where p is win probability and R is reward-to-risk (payoff ratio).
Negative f means no edge — the calculator displays zero fraction.
Should I use full or half Kelly?
Full Kelly maximizes long-run growth under ideal assumptions. Half Kelly cuts volatility and estimation error sensitivity.
Many traders treat full Kelly as an upper bound, not a literal allocation.
What is the 25% suggested cap?
It is min(Kelly fraction, 25%) for display — a conservative hint, not exchange margin.
Real sizing should also respect drawdown tolerance and correlation.
Can I plug in backtest win rate?
You can, but sample size and regime change matter. Kelly assumes stationary odds — crypto regimes shift.
Pair with drawdown and risk-reward calculators for context.
Is Kelly the same as risk percent per trade?
No. Risk percent sizing (position-size tool) uses stop distance. Kelly uses win rate and payoff ratio.
They answer different questions — do not mix formulas blindly.
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