Advanced Position Sizing Lab
The pro sizing trifecta in one lab: Kelly Criterion, Risk of Ruin, and a 1,000-run Monte Carlo drawdown cone — know your optimal size AND your worst case.
Strategy Parameters
e.g. 2 = win twice what you risk
Your chosen fixed-fractional risk
Account considered “ruined” at this DD
Sizing Report
Kelly % (Full)
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Half-Kelly
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Risk of Ruin
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Expectancy/Trade
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Median Final Equity
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5th %ile (Bad Luck)
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95th %ile (Good Luck)
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Max Consec. Losses
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Frequently Asked Questions
Why not just use full Kelly?
Full Kelly maximizes long-run growth but produces brutal drawdowns (50%+). Professionals use half or quarter Kelly — sacrificing some growth for sleep-at-night risk.
What does the drawdown cone show?
1,000 simulated equity paths. The 5th percentile line = “if luck runs bad”; 95th = “if luck runs good”. Your actual path will likely fall between them.
How do I pick my risk %?
Start from half-Kelly, then check the Monte Carlo: if the 5th-percentile drawdown exceeds your pain threshold, reduce risk until it fits.
Disclaimer: Monte Carlo uses your inputs as fixed assumptions — real win rates drift. Simplified risk-of-ruin approximation. Educational tool, not financial advice.