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Kelly criterion

The Kelly criterion computes the position-size fraction that theoretically maximizes long-run compound growth, from win rate and the ratio of average win to average loss. Full Kelly is aggressive by design: it produces drawdowns most people cannot psychologically tolerate even when the underlying edge is real, which is why this product only ever surfaces a fractional-Kelly suggestion, never full Kelly.

Kelly f* = WinRate − ((1−WinRate) / (AvgWin_R / AvgLoss_R))

This explains what kelly criterion measures. It isn't investment advice — see the disclaimer.