What is Kelly Criterion?

Indian market context (NSE)

Reference levels: Nifty 50 at 24,300, Reliance Industries at ₹1,300, Bank Nifty futures at 55,000 (lot size 30). Examples below show how Kelly Criterion shows up on Indian index, equity, and futures books — update to live quotes in your journal.

Nifty 50 perspective

Apply Kelly Criterion to your Nifty 50 sleeve (spot near 24,300): track the metric on closed index F&O or ETF trades over at least 30 sessions before changing rules. NSE costs and slippage on fast opens often widen the gap between spreadsheet kelly criterion and bank P&L.

Reliance Industries perspective

On Reliance (₹1,300) delivery or intraday trades, calculate kelly criterion with contract-note costs included. Single-name results can look strong on kelly criterion while your Nifty-correlated book tells the opposite — tag “RELIANCE” separately in TradeLyser.

Bank Nifty futures perspective

Bank Nifty futures near 55,000 (lot 30) amplify kelly criterion swings versus cash — one volatile session can move the metric more than a week of Nifty trades. Log margin mode (MIS/NRML) with each entry for honest review.

Fractional Kelly in practice

• Compute Kelly only on one stable strategy tag
• Cap live size at your written risk-per-trade rule
• Recompute quarterly, not after every green week
• Never increase size after Kelly rises on < 30 trades

How to validate

• Minimum sample: 30 closed trades on one strategy tag before trusting Kelly Criterion.
• Check for one outlier week inflating Kelly Criterion — export largest winners and losers.
• Recompute Kelly Criterion after including brokerage, STT, and slippage on F&O tags.
• Compare Kelly Criterion on the same date range as profit factor and max drawdown.

How to track in TradeLyser

• Open Strategy Board or analytics → filter by strategy tag and review period.
• Locate the widget or column reporting Kelly Criterion (or export trades to compute manually).
• Store snapshot values in weekly review: Kelly Criterion, profit factor, drawdown, trade count.
• If Kelly Criterion is custom, add a spreadsheet column fed from TradeLyser CSV export.

Best practices

• Publish Kelly Criterion per strategy, not only at account level.
• Use the same calculation window (weekly vs monthly) year-round.
• Pair Kelly Criterion with sample size in every review slide or note.
• Document formula used so mentors interpret the same number.

Common pitfalls

• Changing rules after fewer than 20 trades because Kelly Criterion moved slightly.
• Mixing intraday and positional tags when computing Kelly Criterion.
• Ignoring costs so Kelly Criterion looks better than banked P&L.
• Letting one outlier trade dominate the Kelly Criterion reading.

How to use this in TradeLyser

Export win rate and average R from Strategy Board. Spreadsheet Kelly beside actual risk ₹ logged on trades — compare plan vs live.