Drawdown simulator
How deep a normal losing run goes at your size.
Free risk tools
Kelly criterion calculator
The risk per trade that grows an account fastest in theory, and why traders take a fraction of it.
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- Nothing you type is stored
Your trades
The size
The full Kelly size is 14.7% of the account a trade. Treat half of it, 7.3%, as a ceiling, not a target: most traders risk far less.
- Why less than full
- Full Kelly assumes your win rate and reward are known exactly. Estimate them a little high and full Kelly over-bets; around double Kelly the growth falls to little or nothing.
Expected growth over 100 trades at each size if the numbers are exactly right, and the drop from 10 losses in a row.
| Size | Risk a trade | 100 trades | 10 losses |
|---|---|---|---|
| 1% a trade | 1.00% | +33% | -10% |
| Quarter Kelly | 3.66% | +158% | -32% |
| Half Kelly | 7.33% | +399% | -55% |
| Full Kelly | 14.65% | +734% | -81% |
| Double Kelly | 29.30% | +12% | -97% |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
The fastest growth, in theory
John Kelly showed in 1956 that, for a bet with a known edge, one fraction of the bankroll grows it fastest over many bets. Bet less and you grow slower but safer; bet more and you grow slower and with bigger drops; bet about twice the Kelly size and the growth falls to little or nothing.
Trading numbers are never known exactly, and the drops at full Kelly are deep, so professionals stay at a half or a quarter of it. To see the drawdowns a risk level brings, run the drawdown simulator; to check the edge itself, the edge map.
Not advice. Arithmetic on the numbers you type; past win rates do not promise future ones.
Next tools
Edge map
Win rate and reward to risk, after costs, on one map.
Position size calculator
The lot size at which a stop-out costs the amount you chose.
Pricing
Three ways in. Pick yours.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.