Position Sizing Calculator
Fixed fractional · Kelly · ATR-based · Vol-targeted · --
⚙️ Inputs
Strategy Performance (for Kelly)
Vol Targeting
Options Sizing
Fixed Fractional (recommended baseline)
112 shares
Risk $500 / stop $4.47 = 112 shares. Most-used institutional default. Doesn't break you on long losing streaks.
Kelly Optimal (¼-Kelly applied)
298 shares
Full Kelly: 51% of account — too aggressive. ¼ Kelly (12.8%) more realistic for parameter uncertainty.
ATR-based (volatility-adjusted stop)
60 shares
Stop at $129.91 (2 × ATR below entry). Adjusts size for volatility — high-vol names get smaller positions.
Vol-Targeted (constant portfolio vol)
103 shares
Notional $14,286. Caps each position so its contribution to portfolio vol matches target. Best for multi-asset books.
🎯 Options Position Sizing
Long-Call Contracts (delta-equivalent)
3
Match 100×Δ exposure of the fixed-fractional share count. Buying 1 contract = 38 share-equivalents.
Max Loss-Based Contracts
1
Cap contracts so total premium doesn't exceed your trade risk. $385/contract vs $500 risk.
Capital Required (cash)
$1,155
If you use the larger of the two above. 2.3% of account.
📉 Drawdown Simulation by Sizing Method
Monte Carlo simulation: 500 trades with your WR/avg-R, varying position sizing. Max drawdown shown for each method. Full Kelly's drawdowns are emotionally untradable — most pros use ¼ or ⅛ Kelly for this reason.