Kelly Criterion Simulator
Calculate optimal bet sizing using full, half, and quarter Kelly criterion to maximize geometric bankroll growth while minimizing drawdown.
Inputs
p = win probability
q = 1 - p
Result
g = p ln(1 + f b) + (1 - p) ln(1 - f). Uses your estimated p for one repeated bet. This is not a ruin probability; that needs a loss threshold, horizon and probability model.
FAQ
What is the Kelly Criterion?
The Kelly Criterion is a mathematical formula used to determine the optimal size of a series of bets in order to maximize the logarithm of wealth.
Why use Half or Quarter Kelly?
Full Kelly can lead to extreme volatility and severe bankroll drawdowns. Fractional Kelly reduces variance and the risk of ruin while still offering growth.
How is Expected Edge calculated?
Edge is calculated by comparing your true win probability to the implied probability of the odds. A positive edge means the bet is profitable long-term.
What if the Kelly formula gives a negative number?
A negative Kelly fraction means you do not have an edge over the bookmaker, and you should not make the bet.
Expected log growth / bet?
g = p ln(1 + f b) + (1 - p) ln(1 - f). Uses your estimated p for one repeated bet. This is not a ruin probability; that needs a loss threshold, horizon and probability model.
The fraction depends on your estimated edge and the stated model. Probability error, correlated bets and changing prices can make it too large. The displayed drawdown proxy is not a lifetime ruin probability.
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