Kelly Criterion Position Sizer
Description
Calculates optimal position size from your real trading performance — not arbitrary percentages. The Kelly Criterion Position Sizer tracks your session statistics in real time and displays recommended position size, risk boundaries, and session equity directly on the chart.
8 Kelly Profiles
Different profiles weight different aspects of performance. Choose the one that matches your trading style:
| # | Profile | What It Measures |
|---|---|---|
| 1 | Classic Win/Loss | Average win P&L vs. average loss P&L |
| 2 | Opportunity Potential | Average win MFE vs. average win MAE |
| 3 | MFE/MAE Sensitive | Raw setup potential (avg MFE vs. avg MAE) |
| 4 | Exit Efficiency | How well winners exit vs. how poorly losers exit |
| 5 | Winner Opportunity | Peak potential vs. average risk |
| 6 | Realized vs. Opportunity | Actual wins vs. worst-case adverse excursion |
| 7 | MFE Spread | Winner peaks vs. loser peaks |
| 8 | Drawdown-Adjusted Win | Average win vs. average drawdown |
Dynamic Risk Levels on Chart
Four boundary lines move with price while you are flat, then the adverse side freezes at entry when you enter a trade:
- BDD lines (red) — Bankroll Drawdown limit — hard loss boundary for the session
- TRM lines (orange dashed) — Trade Risk Management — per-trade risk threshold
Safety Controls
- Kelly Correction Factor — scale aggressiveness (0.5 = Half-Kelly is standard)
- Maximum fraction cap — hard limit regardless of calculated value
- Minimum trade sample — Kelly only activates after N trades
- Dampening — automatically reduces size after exceptional wins (4 profiles)
- Synthetic Kelly — preset starting value before your first trade
Performance Dashboard
Live metrics displayed on chart: session bankroll, peak equity, trailing drawdown limit, margin to limit, current risk fraction, win rate, return ratio, and full single-trade and flat-to-flat statistics.
Data Export
Every trade exports automatically to CSV (semicolon-delimited, all metrics) and SVG (visual trade recap with equity curve and risk panels) for journaling and external analysis.
Requirements
- Sierra Chart trading platform
- ofv Authentication study (included)