Kelly Criterion Calculator
Optimize your bet sizes for maximum growth.
Kelly Criterion Calculator
Mathematical Portfolio Optimization for Cryptocurrency
📊 Interactive Demonstration - Sample Data Only
See How Kelly Criterion Works
Sample Portfolio
$50,000
Bitcoin (BTC)
$20,000
40%
Ethereum (ETH)
$15,000
30%
Solana (SOL)
$10,000
20%
USDT (Stable)
$5,000
10%
GARCH Volatility
Bitcoin:
47.3%
Moderate Risk
Ethereum:
52.1%
Higher Risk
Solana:
68.4%
High Risk
USDT:
0.0%
Stable
Market Conditions
USDT Yield:2.0% APY
Market Regime:Volatile
Risk Environment:Elevated
Kelly Criterion Mathematical Results
Calculated Optimal Allocation
BTC:
28%↓ Reduce
ETH:
22%↓ Reduce
SOL:
15%↓ Reduce
USDT:
35%↑ Increase
Suggested Portfolio Changes
Reduce Positions:
• BTC: Consider reducing by $6,000
• ETH: Consider reducing by $4,000
• SOL: Consider reducing by $2,500
• ETH: Consider reducing by $4,000
• SOL: Consider reducing by $2,500
Increase Position:
• USDT: Consider increasing by $12,500
+18.4%
Expected Annual Return
1.47
Sharpe Ratio
-8.2%
Max Drawdown
📚 How Kelly Criterion Works
The Mathematics
Kelly Formula: f* = (bp - q) / b
Where:
- f* = optimal fraction to allocate
- b = odds received (return ratio)
- p = probability of winning
- q = probability of losing
GARCH Enhancement
GARCH Model: σ²(t+1) = ω + α·ε²(t) + β·σ²(t)
Benefits:
- Predicts future volatility
- Captures volatility clustering
- Adapts to market regimes
- More accurate than simple averages
Kelly Criterion Pro Calculator
Real-time Crypto Portfolio Optimization with GARCH Modeling
🔥 Live Market Data & Professional GARCH Analysis
1. Enter Your Current Portfolio
Portfolio Holdings (USD)
$
$
$
$
Total Portfolio Value:$0
Current Allocation
BTC
$0
0.0%
ETH
$0
0.0%
SOL
$0
0.0%
MATIC
$0
0.0%
Professional Financial Analysis
GARCH Modeling
Predicts future volatility using advanced statistical models on historical data.
Kelly Criterion
A mathematical formula for optimal portfolio allocation to maximize long-term growth.
Real-time Data
Live prices and historical data are used for the most accurate statistical analysis.
This tool is for educational purposes and is not investment advice. Past performance is not indicative of future results.