Optimal Position Sizing with Kelly Criterion
📈 Kelly Results
📈 Kelly Curve (Growth Rate)
📊 Account Growth Projection (50 Trades)
⚙️ Kelly Fraction Comparison
| Kelly Fraction | Risk % | Risk $ | Growth Rate | Account Multiple (50 trades) |
|---|
Why Professionals Don't Use Full Kelly
1. Estimation Error
Your win rate and R:R estimates are never perfect. A 2% overestimate of your win rate can dramatically inflate Kelly, leading to overbetting and large drawdowns.
2. Severe Drawdowns
Full Kelly produces extreme drawdowns. Mathematically, a Kelly bettor experiences 50%+ drawdowns regularly, even while growing their account long-term.
✓ Half Kelly Standard
Half Kelly achieves ~75% of maximum growth while roughly halving volatility and drawdown compared to full Kelly. It's the industry standard for serious traders.
4. Independent Trades Assumed
Kelly assumes independent trades. Correlated positions on correlated pairs violate assumptions — reduce sizing accordingly if you hold multiple pairs.