Calculator
Algorithmic EA & FIX strategy Kelly sizing calculator
Automated Expert Advisors (EAs), cTrader cBots, and FIX execution strategies require disciplined fractional sizing to survive execution slippage and regime shifts. This calculator derives Full, Half, and Quarter Kelly allocations from empirical win rates and reward-to-risk ratios.
Half-Kelly allocation (desk standard)
11.70%
29,259.26 position size
- Full-Kelly fraction
- 23.41%
- 58,518.52 position size
- Quarter-Kelly fraction
- 5.85%
- 14,629.63 position size
- Expected edge per unit risked
- 31.60%
- Optimal geometric growth rate
- 3.644%
| Sizing tier | Capital fraction | Position size | Log growth rate |
|---|---|---|---|
| 25% Kelly | 5.85% | 14,629.63 | 1.605% |
| 50% Kelly | 11.70% | 29,259.26 | 2.738% |
| 75% Kelly | 17.56% | 43,888.89 | 3.417% |
| 100% Kelly | 23.41% | 58,518.52 | 3.644% |
| 125% Kelly | 29.26% | 73,148.15 | 3.412% |
Formula
Kelly f* = Win_Prob − (1 − Win_Prob) ÷ Payoff_Ratio
Geometric growth g(f) = p × ln(1 + f × b) + (1 − p) × ln(1 − f)
How to use it
Enter your terminal account equity, verified historical win rate, and average win-to-loss payoff ratio.
Compare Full, Half, and Quarter Kelly capital allocations across the sensitivity table.
Assumptions and limits
- Assumes stationary strategy edge net of terminal commission and slippage.
Common questions
Why should automated terminals cap sizing at Quarter or Half Kelly?
Live bridge latency and liquidity gaps reduce realized payoff ratios compared to backtests; trading Half Kelly retains 75% of theoretical log growth while cutting drawdown volatility in half.
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.