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Kelly Lot Size Calculator [sigmaCEO]
Kelly Lot Size Calculator – Smart Position Sizing for Traders by sigmaCEO
Overview
The Kelly Lot Size Calculator is a powerful trading tool designed to help traders optimize position sizing using the Kelly Criterion, a mathematically proven strategy for risk management. This indicator calculates the Full Kelly, Half Kelly, and Quarter Kelly lot sizes, ensuring traders can maximize their potential gains while managing risk effectively.
Why Use This Tool?
Position sizing is one of the most critical aspects of trading. Too much risk can lead to large drawdowns, while too little risk results in underperformance. The Kelly Criterion provides a structured way to determine the optimal lot size based on a trader’s edge, factoring in their win rate, stop-loss (SL), and take-profit (TP) levels.
This indicator takes the complexity out of Kelly sizing by automatically calculating the best lot sizes based on user inputs and displaying them in a clean, easy-to-read table.
Key Features
✅ Calculates Full Kelly, Half Kelly, and Quarter Kelly lot sizes for flexible risk management.
✅ Automatically factors in win rate, SL, TP, and pip value to determine the optimal trade size.
✅ Displays SL and TP values for all Kelly models in both absolute currency and percentage risk.
✅ Smart “NO ENTRY” detection if the Kelly fraction is negative, preventing over-risking.
✅ Customizable table with light and dark mode support for better visibility.
✅ Best used with rolling win rate calculations from post-trade analysis.
How It Works
Input Your Trade Parameters:
Last Equity (your trading capital)
Win Rate (%)
Stop-Loss (SL) and Take-Profit (TP) in pips
Pip Value per lot (varies by asset)
Automatic Lot Size Calculation:
The indicator applies the Kelly formula to determine the optimal position size.
Converts Kelly risk into lot sizes, preventing overexposure.
Detailed Table Display:
Shows Full, Half, and Quarter Kelly lot sizes to allow for different risk levels.
Displays SL and TP values in both absolute terms and as a percentage of equity.
If the Kelly fraction is negative, it warns users with a red “NO ENTRY” display.
Post-Trade Analysis for Accuracy and Never Go Full Kelly
For the best results, traders should never go full kelly and use this indicator alongside post-trade analysis to update their win rate every 7-14 trades. Since the Kelly Criterion relies on an accurate win rate estimate, rolling recalculations ensure a more adaptive and precise position sizing strategy.
Who Should Use This?
🔹 Scalpers and day traders who need precise lot sizes for each trade.
🔹 Swing traders managing risk effectively across multiple trades.
🔹 Quantitative traders looking for a systematic position sizing approach.
This tool is ideal for any trader who wants to apply mathematical risk management to improve long-term profitability. 🚀
Overview
The Kelly Lot Size Calculator is a powerful trading tool designed to help traders optimize position sizing using the Kelly Criterion, a mathematically proven strategy for risk management. This indicator calculates the Full Kelly, Half Kelly, and Quarter Kelly lot sizes, ensuring traders can maximize their potential gains while managing risk effectively.
Why Use This Tool?
Position sizing is one of the most critical aspects of trading. Too much risk can lead to large drawdowns, while too little risk results in underperformance. The Kelly Criterion provides a structured way to determine the optimal lot size based on a trader’s edge, factoring in their win rate, stop-loss (SL), and take-profit (TP) levels.
This indicator takes the complexity out of Kelly sizing by automatically calculating the best lot sizes based on user inputs and displaying them in a clean, easy-to-read table.
Key Features
✅ Calculates Full Kelly, Half Kelly, and Quarter Kelly lot sizes for flexible risk management.
✅ Automatically factors in win rate, SL, TP, and pip value to determine the optimal trade size.
✅ Displays SL and TP values for all Kelly models in both absolute currency and percentage risk.
✅ Smart “NO ENTRY” detection if the Kelly fraction is negative, preventing over-risking.
✅ Customizable table with light and dark mode support for better visibility.
✅ Best used with rolling win rate calculations from post-trade analysis.
How It Works
Input Your Trade Parameters:
Last Equity (your trading capital)
Win Rate (%)
Stop-Loss (SL) and Take-Profit (TP) in pips
Pip Value per lot (varies by asset)
Automatic Lot Size Calculation:
The indicator applies the Kelly formula to determine the optimal position size.
Converts Kelly risk into lot sizes, preventing overexposure.
Detailed Table Display:
Shows Full, Half, and Quarter Kelly lot sizes to allow for different risk levels.
Displays SL and TP values in both absolute terms and as a percentage of equity.
If the Kelly fraction is negative, it warns users with a red “NO ENTRY” display.
Post-Trade Analysis for Accuracy and Never Go Full Kelly
For the best results, traders should never go full kelly and use this indicator alongside post-trade analysis to update their win rate every 7-14 trades. Since the Kelly Criterion relies on an accurate win rate estimate, rolling recalculations ensure a more adaptive and precise position sizing strategy.
Who Should Use This?
🔹 Scalpers and day traders who need precise lot sizes for each trade.
🔹 Swing traders managing risk effectively across multiple trades.
🔹 Quantitative traders looking for a systematic position sizing approach.
This tool is ideal for any trader who wants to apply mathematical risk management to improve long-term profitability. 🚀
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