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Kelly Position Sizing Calculator
Explore fractional Kelly sizing for an assumed binary win/loss distribution.
How to use this tool
Kelly assumes known, repeatable odds and a binary payoff: win the entered ratio or lose the entire amount risked. Options rarely have that simple distribution, and estimation error can make the output dangerous to rely on.
A negative full Kelly result is displayed, while actual modeled allocation is floored at zero. Fractional Kelly reduces the mathematical stake but does not make the assumptions reliable or account for correlated positions.
Worked example
With 55% win probability and equal net wins and losses, full Kelly is 10%. Quarter Kelly is 2.5%, or $625 on a $25,000 account.
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Model references and conventions
365 calendar days per year. Continuous rates for theoretical pricing. All examples are illustrative.