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kelly-position

Compute optimal position sizing using the Kelly criterion for trading strategies.

19|3|Updated Jan 13, 2026
Search Tags:#statistics#risk-management#trading#position-sizing#kelly#portfolio-optimization
One-click install
npx skills add https://github.com/louloulin/claude-agent-sdk --skill kelly-position
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: kelly-position
Source: https://github.com/louloulin/claude-agent-sdk/tree/main/.claude/skills/kelly-position
Command: npx skills add https://github.com/louloulin/claude-agent-sdk --skill kelly-position

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes scripts (resource) components.

What problem does it solve?

This Skill provides deterministic Kelly-based position sizing calculations to help determine optimal trade allocations.

Core Features & Use Cases

  • Full Kelly calculation from win rate, average win and loss.
  • Fractional Kelly with common safety limits (1/4, 1/2, 1/8) and per-asset caps.
  • Portfolio normalization & risk guidance for multi-asset strategies.

Quick Start

Compute Kelly-based position for a given asset by supplying win rate, average win, and average loss. For example, with win rate 0.6, average win 120 and average loss 80, it returns the full Kelly, fractional Kelly, and a recommended position.

Frequently Asked Questions about kelly-position

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate optimal position sizing for a trading strategy?▼

The Kelly criterion determines optimal position sizing by taking your win rate, average win, and average loss to compute the full Kelly fraction, fractional Kelly, and a recommended trade allocation.

What is the difference between full Kelly and fractional Kelly position sizing?▼

Full Kelly position sizing maximizes long-term growth but carries high drawdown risk, whereas fractional Kelly applies safety limits like 1/2 or 1/4 and per-asset caps to reduce volatility and protect your portfolio.

Can I apply Kelly criterion position sizing to a multi-asset portfolio?▼

Yes, you can apply Kelly position sizing to a multi-asset portfolio. The calculation includes portfolio normalization and risk guidance to manage allocations across multiple assets simultaneously.

Does Kelly position sizing have built-in safety limits for trade allocation?▼

Yes, Kelly position sizing includes built-in safety limits with per-asset caps, enforcing a minimum 2% and maximum 25% position size to prevent excessive risk and over-allocation.

How do I integrate Kelly criterion calculations into a Python or Rust trading system?▼

You integrate Kelly criterion calculations by running the provided scripts, which output position sizing and risk assessment data in formats suitable for Python or Rust trading system integration.

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