Kelly Calculator

Discussion in 'Strategy Building' started by 15rms, Sep 17, 2013.

  1. 15rms


    Does anybody here have a good web site that has a Kelly calculator? I am looking for a web site that I can just fill in the percent winning trades and the average win average loss.

  2. drcha


    I have not seen one or looked for one, but...why do you need one? By the time you calculate the % return for wins and losses, you are most of the way there:

    k = (((1+r)*p)-1)/r

    where r = mean % return on wins/mean % return on losses

    and p = probability of a win

    Assuming you risk the same amount or % on each trade
  3. 15rms


    Ok Thank You.
  4. drcha


    Nice description of this calculation and others like it in McMillan on Options by Larry McMillan
  5. bustermu



    Once you have reduced the information to, "percent winning trades and the average win average loss", only, the Kelly Ratio can no longer be determined.

    Please see:

    Jim Murphy