Tools

Kelly Criterion Simulator

Enter a win rate and average win/loss size, then see whether that edge compounds over many trades, and how bet sizing changes your risk of ruin.

Your edge and bet size

Win Rate55%

Average Win (%)

Average Loss (%)

Number of Trades to Simulate100

Starting Capital

Bet Size, as % of Full Kelly50%

Full Kelly (100%) is theoretically optimal but volatile in practice, since your inputs are estimates. Many practitioners under-bet, e.g. half-Kelly at 50%, for a smoother ride.

Kelly-Optimal Bet Size

Full Kelly says risk 100.0% of capital per trade

At 50% of full Kelly, you are testing 50.0% of capital per trade.

Simulated Equity Paths

Run the simulation to see simulated equity paths.

MedianProfitable pathUnderwater pathBusted pathShaded band: 10th to 90th percentile

Results appear here once you run the simulation.

Why simulate your edge?

See the range, not just the average

A positive edge can still look wildly different from one run to the next. Watch 35 simulated paths play out side by side, not one tidy average.

Bet sizing matters as much as the edge

The same edge can compound steadily or blow up depending on how much of it you risk per trade. Slide between full Kelly and a fraction of it to see why.

Risk of ruin, made visible

Overbetting a real edge is still ruinous. See the share of paths that dropped to near zero at any point, not just where they ended up.