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%

1. Formule Mathématique et Identité de Valorisation

Kelly f* = Win_Prob − (1 − Win_Prob) ÷ Payoff_Ratio

Geometric growth g(f) = p × ln(1 + f × b) + (1 − p) × ln(1 − f)

2. Mode d’Emploi et Paramètres d’Entrée

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.

3. Hypothèses Prudentielles et Limites du Modèle

Assumes stationary strategy edge net of terminal commission and slippage.

4. Questions Fréquentes et Notes de Risque (FAQ)

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.

Comment les équipes de risque peuvent-elles auditer les résultats de « Algorithmic EA & FIX strategy Kelly sizing calculator » ?

Terminal Ledger Desk publie l'équation exacte et les conventions de calcul sur cette page. Les analystes peuvent reproduire les calculs sous Python/Pandas et vérifier la licence de la contrepartie via le centre de vérification de Terminal Ledger Desk.

Avertissement : À des fins éducatives et de recherche quantitative uniquement ; ne constitue pas un conseil en investissement.