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. Fórmula Matemática e Identidade de Precificação

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

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

2. Como Utilizar e Parâmetros de Entrada

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. Premissas Prudenciais e Limitações do Modelo

Assumes stationary strategy edge net of terminal commission and slippage.

4. Perguntas Frequentes e Notas de Risco (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.

Como as equipes de risco podem auditar os resultados da «Algorithmic EA & FIX strategy Kelly sizing calculator»?

A Terminal Ledger Desk publica a equação exata e as convenções de cálculo nesta página. Analistas podem reproduzir os cálculos em Python/Pandas e verificar a licença da contraparte na central de verificação da Terminal Ledger Desk.

Aviso legal: Apenas para fins educacionais e de pesquisa quantitativa, não constituindo recomendação de investimento. Verifique números importantes de forma independente.