Tools / Kelly & bet sizing
Kelly & bet sizing
Find the growth-optimal fraction for a bet or a strategy, and see why half-Kelly is what professionals use.
f* = (bp − q) / b
- Kelly fraction f*
- Your size
- Growth at Kelly
- Growth at your size
- Share of max growth
Growth rate vs size. The curve peaks at Kelly and crosses zero at twice Kelly. Your size is the green marker.
300 bets, three bettors, same luck. Half Kelly, full Kelly and double Kelly on an identical sequence of outcomes (log scale).
half Kellyfull Kelly2× Kelly
Why half Kelly
Kelly maximises long-run growth only if your edge is known exactly. Estimates are always noisy, and overestimating the edge pushes you past the peak towards the zero-growth point at twice Kelly. Half Kelly keeps three quarters of the growth with half the volatility, which is why it is the common professional default. The simulation shows the other cost of full Kelly: deep, frequent drawdowns that few people hold through.
The theory is in the lesson.
Turn this into a tool you own
A spec is not a trading system. Paste this into your coding agent and AgenKit runs a specialist team — architecture, test-first build, risk gates, review — with paper trading on by default.
/agenkit build a position-sizing module that estimates edge and volatility per strategy, applies fractional Kelly with caps and a drawdown-based de-risking rule, and is unit-tested against known Kelly solutions- npx agenkit install engineering-kit in your project
- Paste the command into your agent and approve each phase
- Get tests, backtest, risk controls and a paper-trading switch