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fin.sharpe-position-sizing Calculator
Calculates the Kelly Criterion fraction for optimal bet sizing from win probability and win/loss ratio, and suggests half-Kelly for risk management. Full Kelly maximises long-run compounding but creates unacceptable volatility — half-Kelly is the standard practical recommendation.
Inputs
Win Probability
Reference formula or conversion factor shown for context.
Win Loss Ratio
Reference formula or conversion factor shown for context.
Portfolio Value
Reference formula or conversion factor shown for context.
Max Risk Pct
Reference formula or conversion factor shown for context.
Results
Kelly fraction
Sample size or count used in the calculation.
half-Kelly (recommended)
Sample size or count used in the calculation.
position size at half-Kelly
The value at the specified point or condition.
max risk amount
Overall risk level based on the computed score or classification. Higher risk may call for mitigating actions or additional review.
Kelly = p - (1-p)/b
Reference formula or conversion factor shown for context.
full Kelly
Reference formula or conversion factor shown for context.