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Fractional Risk & Kelly
Risk & Capital · Position Sizing & Drawdown1% Fixed-Fractional position sizing, R-multiple expectancy, and Half-Kelly geometric growth.
Topics in this Sub-Topic
Explore each dedicated topic below inside the 3-level Trade School hierarchy (Risk & Capital / Position Sizing & Drawdown / Fractional Risk & Kelly).
Fixed-Fractional Position Sizing (1% Rule) & Van Tharp R-Multiples
Standardizing every trade's risk as 1R (`AccountEquity × RiskPct`) and computing position quantity from stop distance.
The Kelly Criterion, Volatility Drag & Why Quants Trade Quarter/Half-Kelly
Deriving optimal bet fraction `f* = W - (1 - W)/R` and why Half-Kelly achieves 75% of maximum growth with 50% less drawdown.
Lessons
- Fixed-Fractional Position Sizing (1% Rule) & Van Tharp R-Multiples
Standardizing every trade's risk as 1R (`AccountEquity × RiskPct`) and computing position quantity from stop distance.
- The Kelly Criterion, Volatility Drag & Why Quants Trade Quarter/Half-Kelly
Deriving optimal bet fraction `f* = W - (1 - W)/R` and why Half-Kelly achieves 75% of maximum growth with 50% less drawdown.