6. Winning Probability : Enter the probability of earning a. ( (0. Theoretically, however, the Kelly Criterion could go much higher than 100% and be calling for 200%, 300%, 500% allocation (i. Learning how to win at sports betting is even harder, but it doesn’t have to be. Ubzen 2012. Kelly Criterion. In his post on the Kelly criterion, Zvi notes that full Kelly is only correct if you know your edge and can handle the swings. Professional Sports Bettor, Professional Poker Player and Trademate Sports Co-founder, Jonas Gjelstad, explains what staking strategy he uses for his sports. Try out the Kelly Criterion Calculator below, but pay careful attention to heavy favorites (i. Kelly system betting provides an objective answer on how to make your bankroll grow as fast as possible. The evolution of the Internet of Things (IoT) has promoted the prevalence of the financial industry as a variety of stock prediction models have been able to accurately predict various IoT-based financial services. Works quite well in many ways, but has serious limitations when used for trading. For example if you wager Black in roulette your profit ratio is 1 to 1, and the win probability is 47. Futures and options trading involves a substantial risk of loss. Apply the kelly formula and get the fraction that optimizes the. if anything, it. 124 2 = 5. "The Kelly criterion and its variants: theory and practice in sports, lottery, futures & options trading The symmetric downside Sharpe ratio and the evaluation of great investors & speculators and their use of the Kelly criterion William T Ziemba Alumni Professor at Financial Modeling and Stochastic Optimization, Emeritus, Sauder School of. payout percent 1), you. B = fractional odds (reward to risk) or the ratio of the win to. The system will automatically calculate everyday 12AM while I want to add another function which is auto placed order with certain stakes (by applied Kelly criterion model) once got the calculated forecast price. It became notorious among equities traders because it was said that Warren Buffet uses a version of it when he’s picking his investments. (For example, if you have a 40% win rate, then enter the number "40", not 0. is used to guide an investor to take more risk when investments are winning and cut risk when investments returns is deteriorating. 14. Now that you have W and R, you are ready to calculate Kelly percentage number: Kelly percentage number = 0. Kelly Criteria and the Kelly Formula. Gamblers and traders alike should get to know the Kelly criterion intimately. The formula was adopted to gambling and stock market by Ed Thorp, et al. First thing to note: growth rate is always sloping down at k = 1 = α. 19 = 141. Trading----2. One should not commit more than 20% to 25% of the capital into single equity regardless of what the Kelly criterion says, since diversification itself is important and essential to avoid a large loss in the event a stock fails. A Kelly Criterion online calculator. estimated Kelly criterion ratio. (Video) Think in Terms Of Bet . 8 million during the three months leading to Sept. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected. 50 and your odds are 2, so you should bet 25% of your bankroll ($0. 6 winning probability. Your stake sizes will adjust as you are using the kelly criterion, so a 7. To calculate the optimal bet size use Kelly's criterion. Kelly Criterion gambling is especially popular in sports betting and can potentially help you become a successful bettor. Thus the Kelly leverage. * R = Historical Average Win/Loss ratio. This is because, as explained later, the Kelly Criterion doesn’t produce an “optimal fraction to bet,” but rather a leveraging factor. The virtues of trading using the Kelly Criterion. Kelly Criterion. The reason is because in order for the. " David P. where: K – optimal % risk. Inside you will find the resources and guidance you need to. PointsBet, the renowned sports betting and iGaming firm, has released its Q1 financial report for the 2024 fiscal year, covering the trading period ending on Sept. The multiplier is normally set to 50%, for an aggressive betting strategy set it to 100%. However, it’s important to remember that the Kelly criterion is not a one-size-fits-all. Full Kelly has an interesting property: there is an X% chance of your bankroll dropping to X% of what you started with 5. The Kelly criterion is a well-known strategy for sizing bets to maximize long-run expected log wealth. Figure 9. ) Trading full kelly is VERY VOLATILE. P – odds of winning. If you do the research, take the risks and learn from. . 55, W=L=1. The Q3 revenue of $1. 1. The Optimal F system of money management was devised by Ralph Vince, and he’s written several books about this and other money management issues. - Kelly Criterion - Historical performance based risk Option Trading Tools: - Covered Calls - Buy stock. Enter your assumptions in the fields below Win probability should entered as a number between zero and one (use 0. Thanks. q. 6%) but your estimate of the true probability is 30%. Thorp extended the Kelly Criterion logic and developed an adapted. L. The Kelly Criterion is a formula that was developed by John L. The Kelly criterion is a money management system that’s used by many professional traders and hedge funds. The practical use of the formula has. After Thorp (1969) widened the use of Kelly criterion it has been suggested by a several authors during the years. The Kelly bet size is found by maximizing the expected geometric growth rate. May have to change the equation to get exactly like kellyBy the way, I took you through the formulas just so you could get a sense of how changes in rake or winning percentage alter your optimal plays, but you can and should use a Kelly Criterion calculator. Insane. Last, the financial data are always massive. the kelly criterion helps with the decision of how much one should invest in a asset as long as you know the odds and expected return of said asset. It concerns one of the major Italian banks and it is listed in both the FTSEMIB and the EuroStoxx50 indexes. 62 billion. 1, 2. Two simple components make up the Kelly Criterion, the first is the probability that a trade you make will return positive winnings – and the second is the win/loss ratio. W = Historical. Kelly Criterion for Trading. It is the probability of the anticipated wager winning. L. It was described by J. The amount won is $200 or multiple of the odds based on the stake. This says we’re trying to find the values of f (the amount we allocate. Kelly can be murder during a bad losing streak, so sports bettors often reduce the Kelly. trading. 35 ) / 0. 8% of your total bank roll. It consists of kelly divided by max loss. The following deriva-tion is modi ed from Thorp [1]. 0% of similar occasions, you would expect to gain $99. Kelly Criterion When Trading on a Single Equity. The problem with this is that KC completely upends this. the kelly criterion helps with the decision of how much one should invest in a asset as long as you know the odds and expected return of said asset. q. Position Sizing can make or break your trading results. It. The second point is that the trading strategy is difficult to determine the winning rate in the financial market and cannot be brought into the Kelly criterion to calculate the optimal fraction. Ralph Vince wanted to improve the Kelly formula for trading and calculate mathematically what amount should be put into a trade depending on the expected yield. * R = Historical Average Win/Loss ratio. Written. John Larry Kelly, Jr. The Kelly criterion is based on a trader’s history of at least 100 trades. Trying to find the best way to fit a circle into a square is challenging and risky. , and is analogous to the one in Fortune’s Formula: Kelly % = edge/odds. Figure Two: The. The Kelly Criterion is a mathematical formula that helps gamblers determine optimal bet sizes and maximize profits. By using the Kelly criterion formula, you can make informed decisions. In addition, this research uses the Kelly criterion for fund management; that is, the Kelly criterion is used to calculate the optimal investment score. My RoR is thus 0. It's free to sign up and bid on jobs. 124 2 = 5. Money management strategy based on Kelly J. Kelly Criterion Calculator - Know Your Stakes Quickly - Kelly Criterion determines how much of a stake you should risk on a favorable bet, is a popular staking method which suggests that your stake should be proportional to the perceived edge. Odds The odds offered by the bookmaker or exchange. A = 70% – 30% = 40% = 0. Effective capital management can not only help investors increase their returns but also help investors reduce their. Jan 11 21, 15:44 GMT. W = Number of winning trades / Total number of trades. Define different factors such as momentum, value, size and quality. 99 Losses using this model: 119 - 12. I'm curious if anyone has. Should you wish to use the Kelly Criterion Calculator for a new calculation, simply tap the RESET button in green. Preventing big losses 2. 15 and laying the same outcome at 2. Or, regretted trading in a small quantity in a high-performing trade? In both cases, position sizing could have helped by: 1. Following the Kelly Criterion enables you to manage your bankroll wisely in the long run and maximize your. Kelly % = W/A – (1 – W)/B, where W is the win probability, B is the profit in the event of a win, and A is the potential loss. Well, say hello to Kelly’s Criterion! 14. The Kelly Criterion in C#. Disclosure. This formula determines the optimal % of your account that you can bet to get the most profitable outcome in the long run. The Kelly criterion tells you the optimum amount to risk when you have an advantage in gambling, sports betting, stock option trading, or investing, such as. B – payout on the bet. Choose the event type – independent events, which refers to several different games; or exclusive outcomes. Preventing big losses 2. Net risk return. 40 - 1) 3 = 0. As demonstrated, the Kelly Criterion solves for one of the fundamental problems of investing and trading: position sizing. The Kelly criterion is a formula used in investing to calculate the optimal amount that should be allocated in future trades based on historical performance. Trading with the Kelly criterion. Calculate the relationship between risk and return R. If you check out Wikipedia or Investopedia, you’ll see formulas like this: f ∗ = p − 1 − p b − 1 f ∗ = p − 1 − p b − 1. Unsurprisingly, the volatility or variance in the evolution of the bankroll is greatest for full-Kelly and least for eighth-Kelly. Example of the optimal Kelly betting fraction, versus expected return of other fractional bets. Ziemba . To calculate the optimal Kelly criteria for each asset, it can be demonstrated that: F∗ = C−1(M– R) F ∗ = C − 1 ( M – R) Where C C is the covariance matrix and M– R M – R the excess returns. The Kelly Criterion gives an optimal result for betting based on the probability of winning a bet and how much you receive for winning. PK. loss of entire bankroll). A Kelly Criterion sports betting calculator can be used to manage your sports betting bankroll and determine optimal bet sizing. 30, up 598%. If it hits my stoploss, i lose ~2k. There’s something uniquely satisfying about earning profits for yourself. 69 + 20,77,475. Source Code：Real Time. Avg win 2300, avg loss 2000. The continuous Kelly criterion states that for every i i th strategy with Sharpe ratio Si S i and standard deviation of returns σi σ i, you should be leveraged fi = mi/σ2i = Si/σi f i = m i / σ i 2 = S i / σ i. 077 / 0. 67%, which means to realize maximum account growth, you may risk up to 6. Kelly Criterion in the Financial Market. 215×10−1. edge2 edge2+σ2 = σ2 market σ2 market+σ2. Apologies, but something went wrong on our end. One thing that complicates the matter is that short term results can vary widely from the long term. Kelly Jr. "Our edge is is market error; market edge is our error". The Kelly Criterion. That's not so useful in trading, where the outcomes are continuous. where: K – optimal % risk. Let’s calculate K for our scenario: Dutching Calculator - Know Your Stakes Quickly - Dutching Calculator tells you how much to stake on each selection to ensure an equal profit no matter which one wins, also known as the Dutching System. Kelly Criterion Staking Method Explained What is the Kelly Criterion formula? The basic Kelly Criterion formula is: (bp-q)/b B = the Decimal odds -1 P = the probability of success Q = the probability of failure. Here is a range of useful trading calculators I made up in an excel spreadsheet, it includes: Simple and advanced money management, trade cost, trade accuracy, kelly criterion, consecutive losses, growth projections, monthly turnover volume, pip value, and account cumulative profit/loss percentages. Although it may appear confusing, it’s actually pretty simple. which gives you the optimal amount to bet ( f*) given the probability of. This r ≡ exp E log ( R) is sometimes called expected geometric growth rate. Notice that, when the assets are not correlated, the optimal result is the same as for a single asset. To associate your repository with the kelly-criterion topic, visit your repo's landing page and select "manage topics. Let’s calculate K for our scenario:Also know as a lay bet calculator. The formula, developed in 1956 by Bell Labs scientist John Kelly, uses Information Theory to calculate how much to wager or invest to maximize long-term. Take your pick! Download Kelly Criterion Calculator. The purpose of the Kelly criterion in investing is to see how much money you should put into a single trade. 75 in addition to your stake of $57. This money management system is best. In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for sizing a bet. The Kelly Criterion is to bet a predetermined fraction of assets, and it can seem counterintuitive. A much simpler derivation of the Kelly Criterion. Kelly was a research scientist at Bell Labs. This formula. 20 or 20% The formula is therefore suggesting that 20% of the portfolio be stake 20% of your. How to develop a good trading strategy to achieve long-term stable profit is the dream of many people []. So, if trading monthly long options is your game, your optimum sizing is ~ 5 to 6 option trades per months each ~ 20% of your total risk capital. The second is the total win loss ratio, which is made up of the total number of winning trades divided by the total number of losing trades. The Kelly criterion is the bet size that will produce the greatest expected growth rate in the long term. In such a case, the Kelly criterion suggests that if one were to go over 20% repeatedly on a low. The Kelly Criterion is a mathematical formula that is used to calculate the optimal position size to take in a trade, based on the expected return and the risk involved. The idea is that you determine the ideal fraction of your money to allocate per trade based on past performance. The trade will based on the most profitable option portfolio. The Kelly formula (edge/odds), in expanded form, is: (P*W-L)/P. is the author of the Kelly criterion formula from 1956. Applying the formula to forex trading looks like this: Position size % = Winning trade % - ( (1- Winning trade %) / Risk-reward ratio )Usually, bettors applying the fractional Kelly criterion use half a Kelly, a quarter of a Kelly, or an eighth of a Kelly. 0dwkhpdwlfdo ([shfwdwlrq lq )xwxuhv 7udglqj $ vxffhvvixo wudglqj vvwhp qhhgv wr kdyh d srvlwlyh 0dwkhpdwlfdo ([shfwdwlrq ru d vwdwlvwlfdo hgjh lq rughu iru lw wr kdyh d fkdqfh wr eh surilwdeoh lq wkh uhdo zruog ,w fdq ehNowadays, the Kelly Criterion has been implemented in many trading and investing strategies, to the point that even world-renowned investors such as Warren Buffet and Bill Gross reported to use the Kelly method in one of its many variations. For a single commodity, the most critical skill is the position sizing [12, 13], and for multiple commodities is the portfolio optimization [7, 11]. the Kelly Criterion formula to calculate your stake. * W = Historical winning percentage of a trading system. Search for jobs related to Kelly criterion calculator trading or hire on the world's largest freelancing marketplace with 22m+ jobs. 00 =. Specifically, we’ll go over the Kelly Criterion with a concrete example in…. However, there is still a large gap between the theory and the real trading for money management. 60 – 0. We consider Banca Intesa as the reference stock. With 5 total trades and 3 profitable ones, W (winning probability) equals 3/5 or 0. Mutual Information. Now lets calculate the FINAL PROFIT: 49,81,083. The formula has a number of applications, one of which is sports betting. He gives lectures to various institutions including The World Bank, Carnegie Mellon, and billion-dollar hedge funds. 04. And that article is using the same hypothesis that I am - look at your OWN trading record to calculate probabilities, etc. You have $1,000 with you. Kelly Criterion. It results in the maximum expected rate of bankroll growth, and is the optimal strategy for money management in betting games. The second is the total win loss ratio, which is made up of the total number of winning trades divided by the total number of losing trades. The Kelly Criterion was developed by mathematician John Kelly and can be applied to a variety of casino games and sports bets, but can also be applied to trading. The Kelly Criteria is an interesting thing to play with. The Kelly Criterion is a popular staking method which suggests that your stake should be proportional to the perceived edge. How to Use the Kelly Criterion. 67 billion is largely attributed to Wynn Resorts’ Macau operations. With that in mind, Edward O. Many skills of money managements are based on the Kelly criterion, which is a theoretical optimization of bidding an optimal fraction for position sizing. Does apply kelly now give better results? If kelly value is say 44k. You may notice a pattern too where if you have an even-money bet (i. Kelly is a very aggressive investment strategy. 40. 60 – 0. I do agree that the implementation isn't obvious for trading. , -200 odds and shorter) because the Kelly Calculator struggles with “sure things. A Kelly Criterion sports betting calculator can be used to manage your sports betting bankroll and determine optimal bet sizing. Using the results from your past trades calculate ‘W’, which is the probability of a trade ending as a. Learn, create, implement and backtest various position sizing techniques such as Kelly, Optimal f, and volatility targeting on a trading strategy. Since there is not a nite number of outcomes of a bet on a security, we must use continuous probability distributions. It emerged from statistical work done by John Kelly at Bell Laboratories in the 1950s. The goal was to figure out the best ways to manage signal-noise. q = 1 – 0. Cash 2001 World Cup Trading Champion "Money management cannot ensure that you always make spectacular returns, but it can help you limit your losses and maximize your gains through efficient diversification. Imagine we have a trading system with a win rate of 65%. That is, he wanted to find (for each market system) an optimal number of contracts or lots, which should be traded with a certain account balance in order to maximise the capital growth. The main disadvantage of the Kelly criterion is that its suggested wagers may be very large. It. s = b * (o. Published: Nov 8, 2023. Bankroll: This is the total amount of money. class KellyCriterionStrategy (bt. This is where the Kelly formula comes into play: K = ( PxB – (1–P) ) / B. Financial trading is an interesting research issue to many experts and scholars. The formula in D5 is where Kelly does the magic: =(D1*D3-1)/(D3-1) The result is the proportion of your bankroll recommended by the Kelly Criterion. For a single commodity, the most critical skill is the position sizingyeah, multi-tabling is the challenging part that I haven't figured out. Kelly Criterion Calculator Excel. The Kelly Criterion is a method of management that helps you calculate how much money you might risk on a trade, given the level of volatility in the market. The virtues of trading using the Kelly Criterion. 3. Revisiting the Kelly Criterion Part 2: Fractional Kelly. Trading using the Kelly Criterion produces the fastest growth. Method 1 Method 2 The calculation of the Kelly criterion includes two main factors: the probability of winning and the win-loss ratio of the trading strategy. I do something similar. Kelly applied to Option Investing While stock investments are more free-form, many option investments have common ground with gambles: • fixed terms • a definite time horizon • a payoff settlement at expiration Hence with the proper statistics, we can use the Kelly criterion to determine optimal investment levels whileSimply writing something off is not my style. If you need a convenient risk calculator for your trading, I can recommend this app. 980, in other words allocating 98% of your capital to a single position. In this note I show how to calculate the variance of the estimated Kelly criterion ratio. Chopra and Ziemba (1993), reprinted in Section 2 of thisWhatever method you use it’s important to understand that the Kelly Criterion assumes you continue trading in the same way you have in the past. The Kelly Criterion is to bet a predetermined fraction of assets, and it can seem counterintuitive. Two simple components make up the Kelly Criterion, the first is the probability that a trade you make will return positive winnings – and the second is the win/loss ratio. Your odds of winning any one flip are 50/50. It can then tell you the optimal amount you should invest in each trade, given the strategy and your personal forex trading record. This is where the Kelly formula comes into play: K = ( PxB – (1–P) ) / B. The formula is as follows: f = the fraction of the bankroll to bet. Shop. It’s doable. The Kelly Criterion assumes that the purpose of your trade is to maximize your growth of capital, and will reinvest your winnings. The Kelly Criterion gives an optimal result for betting based on the probability of winning a bet and how much you receive for winning. With hand waving and basic math you can also use it to help guide. Kelly Betting Expectancy Formula: Trade Calculator: 2. How to use the Kelly Criterion calculator. Very interesting nonetheless!The Kelly’s formula is : Kelly % = W – (1-W)/R where: Kelly % = percentage of capital to be put into a single trade. simplified(win_p, rr) simplified version of the kelly criterion formula. . After backtesting this, say it gerates 60% win. 36% (18/38). 62. Thorp is famous for his blackjack paperback, Beat the Dealer, where he explores Kelly for gambling. In this formula, P is the payoff, W is the probability of winning, and L is the probability of losing. Kelly Criterion Calculator is a tool for finding the optimal investment size to maximize profits on repeated investments. It is widely applied to sports betting and casino gambling. KELLY CRITERION | Ed Thorp | Optimal Position Sizing For Stock TradingThe Kelly Criterion calculation was created by Ed Thorp and made specifically to beat t. If the amount of a bet according to the full Kelly criterion was 8% of the bankroll, the half, a quarter, and an eighth of Kelly bets would be 4%, 2%, and 1%, respectively. Kelly’ Criterion has an interesting background. The Kelly Criterion is a formula that produces the long-run optimal bet size, given the odds. . Avg win 2300, avg loss 2000. Kelly Criterion gambling is especially popular in sports betting and can potentially help you become a successful bettor. The casino is willing to pay 2 to 1 on any bet you make. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected. Penn Entertainment disclosed its third quarter trading update, reporting an overall revenue of $1. This method allows for the bettor optimize their bet size, while limiting their exposure to ruin (i. Since the variance in heads up will always be 1 than the formula is easily applicable to HU SNGs. 67%, which means to realize maximum account growth, you may risk up to 6. 40) / 1 = 0. A. The Kelly Criterion assumes that the purpose of your trade is to maximize your growth of capital, and will reinvest your winnings. In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for sizing a bet. To follow up on that. Refresh the page, check Medium ’s site status, or find something interesting to read. Updated: Nov 8, 2023. It is a simple formula that calculates the proportion of your balance to wager on a particular gamble. This is just common sense!The Formula for the Kelly Criterion Is. 11 hours. In this article, we will explore the Kelly Criterion in Forex trading and how it can be used to enhance your trading strategy. If you’re extremely confident in a trade, consider sizing up to your K%, (5 -. py, the app adopts a mathematical approach to investment sizing. meaning that the parameters of the equation needed to calculate the Kelly Criterion vary every. The Kelly formula is : Kelly % = W – (1-W)/R where: Kelly % = percentage of capital to be put into a single trade. The trade calculator tells you how much your trade size should be based on your risk profile you specified to the left in the "Percent Bankroll used". Conclusion. 01. Here are the statistics traders need to calculate the Kelly Criterion: Kelly Criterion Calculator is a tool for finding the optimal investment size to maximize profits on repeated investments. Bet £10 get £30 (credited as 2 x £15 bets) Highly competitive odds; Create your own bets for the highest value!. The trouble is that the financial market is a continuous flow and does not follow this model. Because betting odds have associated probability, we can use that to help calculate our suggested wager. These two factors are then input into the Kelly Criterion equation. W = Historical winning percentage of a trading system. It takes into account your win probability and the odds being offered by the sportsbook, and provides a recommendation for the optimal bet size based on your bankroll size. Apply the kelly formula and get the fraction that optimizes the. Hence, the Kelly criterion can be very risky in the short term. Keywords: Kelly criterion Option trading Profitable gamble Optimal f 1 Introduction The Kelly criterion [1] can be regarded as an optimization process for wagering ratios. And when comes to Kelly, I will admit, it is a continuous process for me, to get to that FINAL approach, which is reliably REPEATABLE. Trading Psychology For Dummies. CURRENT BALANCE: Insert your current betting balance BOOKMAKER ODDS: The odds you want to back YOUR ESTIMATE (%): Your estimated probability of the selection winning FRACTIONAL KELLY BETTING (FKB): Choose between 0. Because, yeah changing the bankroll is absolutely key. Home. It’s doable. That is a probability of winning of 40%. The Kelly Criterion. 4. A win/loss ratio is self-explanatory, you can calculate it by dividing. The more there are, the better. The Kelly Criterion Calculator helps you decide what percentage of your bankroll to place on a group of sports bets. 5 for 50%, for example) Payout values can either be percentages or dollars, as long as the same method is used consistently for bothApplication of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015 Supervisor: Dr. Suppose we have initial capital X 0 and we want to determine the optimal betting fraction f to invest each year in S&P 500 stocks. It is widely applied to sports betting and casino gambling. Comments. The Kelly Criterion is a formula that was developed by John L. A 1997 paper by Ed Thorp, a smart man who basically got rich using the Kelly Criterion. So, for a bet with a 70% chance to win the optimal wager size is 40% of available funds. 2. Because, yeah changing the bankroll is absolutely key. whereKelly Criterion Calculator. Total net profit, profit. Kelly Criterion When Trading on a Single Equity. Returning to the card counter from the introduction, b=1 p=0. addition to trading signals, a suitable trading strategy is also crucial. Variable betting is a powerful tool used to win more and lose less with sports betting, or at least that’s the goal with methods like the Kelly strategy. I risk 2k. Even if using 20% of an ever decreasing account balance never blows out your account completely, this is not smart trading. This is all the information we need in order to use the Kelly formula (p = 40% and r = 3). U = (30% of $10000) / $200 = 15. In current times, the Kelly Criterion is used in a similar purpose for investors around the world. e. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected geometric growth rate. 1. 025. Graph functions, plot points, visualize algebraic equations, add sliders, animate graphs, and more. The Kelly Formula is: Kelly % = W – (1-W)/R where: * Kelly % = percentage of capital to be put into a single trade. Kelly Criterion Calculator Kelly Criterion Calculator The Kelly criterion is an advanced money management method that helps traders determine what proportion of their trading capital should be invested in a particular position.