Home / Glossary / Kelly Criterion

Kelly Criterion

Glossary Term
A mathematical formula for optimal position sizing. It calculates the fraction of capital to allocate to a trade based on the probability of winning and the payoff ratio. Closelook uses a fractional Kelly approach (typically half-Kelly) to determine position sizes across all five model portfolios.

How Closelook Uses This

How Closelook sizes positions →
← Back to Glossary