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Kelly Criterion Strategy

Kelly Criterion Strategy MCP Connector for Claude

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Deterministic position sizing using the Kelly Criterion to manage trading capital.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides mathematical precision to trading capital management. It uses the Kelly Criterion to determine optimal position sizes based on your strategy's win rate and win/loss ratio. By applying a Half-Kelly safety buffer and enforcing a 25% concentration cap, it helps prevent over-exposure while maximizing long-term growth. Use calculate_kelly_sizing to find your optimal allocation, evaluate_trade_parameters to generate specific entry and exit instructions, and analyze_strategy_expectancy to evaluate your edge and risk of ruin.

kelly-criterionposition-sizingrisk-managementtrading-strategycapital-allocation

3 tools expose this connector's capabilities to your AI agent.

analyze_strategy_expectancy

calculate_kelly_sizing

evaluate_trade_parameters

See how to talk to your AI agent using Kelly Criterion Strategy.

Calculate my position size for a strategy with a 55% win rate, a 2.0 win/loss ratio, and $50,000 in total capital.

Your optimal Half-Kelly position size is $5,500.

I have an entry price of $150, a stop-loss at $145, and a take-profit at $170. My allocated position size is $10,000. How many shares should I buy?

You should purchase 66.67 shares.

What is the expected value and risk of ruin for a strategy with a 40% win rate, $500 average win, and $400 average loss?

The expected value per trade is $20, and the estimated risk of ruin is 0.02%.

The Kelly Criterion is a formula used to determine the optimal size of a series of bets to maximize the logarithm of wealth, balancing win probability against the reward-to-risk ratio.

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