Fractional Kelly Position Size & ATR Slippage Ruin-Probability Calculator

Compute exact Half-Kelly and Quarter-Kelly portfolio allocations adjusted for out-of-sample win rate, reward-to-risk ratio, and ATR execution slippage.

1. Configure Your Parameters

2. Optimal Fractional Kelly Sizing (Live Output)

Calculating...

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3. Copy-Paste Python Vectorized Half-Kelly & Walk-Forward Harness

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def half_kelly_fraction(win_prob: float, payoff_ratio: float, atr_slippage_bps: float = 4.5) -> float:
    eff_b = max(0.1, payoff_ratio - (atr_slippage_bps / 100.0))
    full_k = (win_prob * eff_b - (1.0 - win_prob)) / eff_b
    return round(max(0.0, min(0.25, full_k * 0.5)), 4)

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