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Kelly Criterion Calculator
Find the Kelly-optimal fraction of capital to risk from your edge - the win probability and the average win versus average loss. Most practitioners use half-Kelly to reduce volatility.
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How it works
The Kelly criterion gives the bet size that maximizes long-run growth of capital. Bet more and you grow faster but risk ruin; bet less and you leave growth on the table. Because full Kelly is volatile, many investors use a fraction (half-Kelly is common).
f* = (b.p - q) / b , b = avgWin/avgLoss , q = 1 - p
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