Risk-Reward Optimizer
Win rate and risk-reward are inseparable. A 70% win rate with 1:0.5 RR loses long-term. A 30% win rate with 1:5 RR wins big. This calculator shows the exact break-even line + the Kelly-optimal position size for your edge.
- Break-even win rate = 1 / (1 + RR)
- 1:1 RR → need 50% win rate
- 1:2 RR → need 33.3% win rate
- 1:3 RR → need 25% win rate
- Kelly = (winRate - lossRate/RR) capped at 25% (full-Kelly = ruin risk)
Why Quarter-Kelly?
Full-Kelly maximizes long-term geometric growth — but at the cost of huge drawdowns (50%+ is normal). Most pros run 0.25× Kelly because giving up 12% of theoretical max return cuts max drawdown roughly in half. For prop firms with hard DD limits, quarter-Kelly or less is the only safe choice.
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