Kelly Criterion
A mathematical model for determining the portion of capital to allocate to a bet based on the estimated win probability and payout odds.
How It Works
Outcome Estimate
The model uses the estimated probability of winning and compares it with the payout odds.
Finding the Edge
If the calculated expected value is positive, the formula determines the portion of the bankroll to allocate to the bet.
Position Size
The resulting fraction is multiplied by the current bankroll, after which the bet can be reduced using the selected Kelly fraction.
Full Kelly uses the bankroll fraction calculated by the formula. Half Kelly and Quarter Kelly use only a portion of that fraction, reducing the size of each position.
The Kelly Criterion depends on the accuracy of the estimated probability. An inaccurate probability estimate can result in an excessively large bet size.
Model Parameters
Set the bankroll, outcome probability, odds, and the fraction of the calculated Kelly allocation to use.
Calculation Result
The current expected value and recommended position size.
Interactive Trainer
Record outcomes and observe how the bankroll and next position size change.
Strategy Simulation
Simulate a series of random outcomes using the current Kelly Criterion parameters.
Kelly Criterion Simulator (Monte Carlo Simulation)
Analysis of 30 independent simulation sessions with 100 bets
What This Section Shows
This section shows how the estimated probability and odds are translated into a position size. The Kelly Criterion does not predict the outcome of the next event; it provides a mathematical approach to managing bet size under the specified assumptions.