Tools / Calculator
Kelly sizer. How much of your capital a real edge could carry.
Kelly is a formula for the share of capital to stake per trade when your numbers show a real edge. Use it to see how aggressive a size is, not to pick one. The boxes start with example numbers.
Method described by J. L. Kelly Jr. and Edward O. Thorp (Kelly / Thorp). Daksh Analytics is not linked to them.
HYPOTHETICAL
- Full Kelly
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- Half Kelly
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- Quarter Kelly
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Enter valid numbers to see the sizes.
Warning: win rates and payoffs taken from a small or past sample are unreliable, and Kelly is very sensitive to them. A slightly too rosy input can push the size into dangerous territory. Most people who use Kelly at all use a fraction of it, and many use none.
Results are hypothetical and for illustration only. Not a guarantee. Not investment advice.
Five simulated paths, 200 trades each
Account value as a multiple of the start, on a log scale, using your win rate and payoff and a fixed seed. The same win and loss sequence is used for all three panels, so only the size differs.
Typical worst fall from a peak
| Size | Median worst fall |
|---|
Median of the worst peak-to-trough fall in each of 1,000 simulated runs. Half of all runs did worse. These are made-up sequences, not a forecast.
How it works. In plain words.
Kelly asks one question: if you could repeat the same bet many times, what share of your capital should each bet use to grow it fastest? It needs two things, your win rate and the payoff ratio , which is your average win divided by your average loss.
If wins are rarer or smaller than losses so that there is no edge, the answer is zero. The page says so plainly instead of showing a negative size.
Full Kelly is the fastest-growing size on paper, but it is a rough ride. Account value can fall by half or more along the way, as the chart shows. Half Kelly gives up some growth for a much smoother path, and quarter Kelly smoother still.
Because your own win rate and payoff are only estimates, treat the result as a ceiling. See what a size means in rupees with the position sizer.
For the curious
payoff ratio R = average win / average loss
Kelly fraction f = W - (1 - W) / R, where W is the win rate as a decimal
f of 0 or below means no edge, and the size shown is zero
half Kelly = f / 2, quarter Kelly = f / 4
simulation: each trade multiplies the account by (1 + f x R) on a win or (1 - f) on a loss; a seeded generator is used, so the picture is the same each time
Important information
- Education only. Not investment advice. Daksh Analytics is not SEBI-registered.
- The numbers come only from what you type. Nothing is sent anywhere.
- Past results do not predict future results.
- Derivatives carry a high risk of loss.
See Terms, Privacy and Data sources.
Educational only. Not investment advice. Daksh Analytics is not SEBI-registered. These are teaching calculators that use only the numbers you type in; they cannot know your real costs, taxes, slippage or how markets will behave.