凯利公式计算器

分类： Uncategorized
- August 31, 2026
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Optimize your position sizes based on the Kelly Criterion formula to maximize long-term growth while managing risk

Trading Parameters

%
Your historical winning percentage
:1
Average win amount / Average loss amount
$
0.5
Lower values are more conservative (Half-Kelly = 0.5)

Kelly Criterion Results

Optimal Kelly Percentage
13.8%
of your account per trade
0% Conservative Aggressive 100%
建议仓位大小
$690.00
Based on 0.5 Kelly (Half-Kelly)
Full Kelly Position Size
$1,380.00
Maximum theoretical optimal size
Expected Growth Rate
2.37%
Per trade at recommended size
Probability of Ruin
< 0.1%
Chance of losing all capital
Max Drawdown (95% CI)
12.5%
Expected worst-case scenario
Risk-Adjusted Return
1.85
Higher is better (> 1 is good)

Growth Simulation by Kelly Fraction

Kelly Size by Win Rate/Win-Loss Ratio

Kelly Fraction Comparison

Kelly Fraction 仓位大小 增长率 Max Drawdown 风险水平

About the Kelly Criterion

The Kelly Criterion is a mathematical formula used to determine the optimal size of a series of bets or trades to maximize long-term growth. It was developed by John L. Kelly Jr. while working at Bell Labs in 1956 and has since been adopted by traders and investors to optimize position sizing.

The Kelly Formula

Kelly % = W - [(1 - W) / R]
W = Win probability (decimal)
R = Win/loss ratio (average win ÷ average loss)
Kelly % = Percentage of capital to risk on each trade

Benefits of Kelly Criterion

  • Mathematically optimal for maximizing long-term growth
  • Dynamically adjusts position size based on edge
  • Prevents over-betting which can lead to ruin
  • Provides a systematic approach to position sizing

Limitations to Consider

  • Assumes win rate and win/loss ratio are known accurately
  • Can suggest aggressive position sizes (hence the half-Kelly recommendation)
  • Doesn't account for psychological factors in trading
  • May not be suitable for all market conditions

Best Practices for Using Kelly Criterion

  1. Use a Fractional Kelly Approach: Most professional traders use 1/4 to 1/2 of the full Kelly percentage to reduce volatility while maintaining most of the growth benefits.
  2. Base Win Rate on Historical Data: Use your actual trading history rather than theoretical projections to determine your true win rate.
  3. Recalculate Regularly: Market conditions change, and so should your position sizing. Update your Kelly calculations as your trading performance evolves.
  4. Consider Correlation: If trading multiple positions simultaneously, account for correlation between trades to avoid overexposure to similar risks.
  5. Set Maximum Position Limits: Regardless of Kelly's recommendation, consider setting absolute limits on position sizes as an additional safeguard.

本工具计算什么

在已知优势下，能令长期资本增长最大化的下注比例。

公式
f* =（bp − q）÷ b，其中 b 为赔率、p 为胜率、q = 1 − p
计算示例
胜率 55%、赔率一赔一，则 f* =（1 × 0.55 − 0.45）÷ 1 = 0.10，即动用一成资金。
何时使用
在已量度优势的前提下，计算仓位规模的理论上限。
常见错误
实务上全额凯利过于激进，且假设胜率估算完全准确。多数使用者只采用四分之一或一半。