Position Sizing Calculator
Enter your strategy's win rate, payoff ratio, and account size to get the Kelly fraction, half-Kelly recommendation, and ruin probability at different risk levels — so you know exactly how much to risk per trade.
Strategy Parameters
The drawdown level at which you would stop trading
Sizing Analysis
Positive edge — system makes money over time
Avg win ÷ avg loss
$25.00 risk at full Kelly
$12.50 risk per trade
Chance of −50% drawdown before edge compounds
Ruin probability at different risk levels (50% stop)
Kelly fraction uses the win/loss payoff formula. Ruin probability uses the simplified closed-form for fixed-risk trading assuming symmetric outcomes. Monte Carlo simulation gives a more accurate estimate — use it to validate before sizing up.
What is the Kelly criterion?
Kelly gives you the mathematically optimal fraction of your account to risk per trade to maximize long-run growth. Above Kelly: lower long-run returns and higher ruin risk. At Kelly: maximum growth but large drawdowns. Half-Kelly is the professional standard.
Why half-Kelly?
Full Kelly produces maximum geometric growth but drawdowns that most traders cannot sustain emotionally. Half-Kelly gives roughly 75% of Kelly growth with dramatically smaller swings. Quarter-Kelly is safer still — appropriate when your parameter estimates are uncertain.
What is ruin probability?
The probability that natural variance wipes your account to the stopping threshold before your edge compounds. A positive expectancy system can still have a non-trivial ruin probability at large position sizes — especially in short-term stretches.
Want your entire risk framework built into production?
The Kelly formula is the theory. Implementing it in a live system means real-time position sizing, portfolio heat tracking, and kill switches. We build that infrastructure. Book a free diagnostic.