Fixed fractional
2,000 sh
$200K
Risk $10K · stop −5.0%
Full Kelly
25.0%
2,500 sh
f* = p − q/b = 0.55 − 0.45/1.50
Half-Kelly
12.5%
$125K
Quarter-Kelly: 6.3%
Notes
- Fixed-fractional caps maximum loss at $10K regardless of price.
- Kelly maximizes long-run geometric growth, but is highly sensitive to the win-probability estimate — most pros use ½ or ¼ Kelly to dampen draw-downs.
- Edge degrades when P-est is wrong: if real p = p̊ − 5%, full-Kelly turns into a small negative-EV bet quickly.