Sizing Calculator — Kelly Optimal Contracts

Thorp 1962 quarter-Kelly cap + bankroll discipline

Computes Kelly-optimal contract count from bankroll + per-trade edge + payoff profile. Default quarter-Kelly cap (Thorp 1962) — reduces variance + ruin risk vs full Kelly. Position size additionally capped at 5% of bankroll per single position (configurable).

Bankroll ($)

Win probability (0-1)

Avg win per contract ($)

Avg loss per contract ($, positive)

Max position % of bankroll

Kelly fraction cap (default 0.25)