Idea 1
Illustrative inputs — not a published trade recommendation.
Portfolio risk
Two or three ideas. One risk budget.
Winning more often does not protect you from sizing too large. Decide what the whole portfolio can lose before deciding how much each trade gets.
Choose your ideas, weight your conviction, and see risk, position size and capital required together. Read how portfolio Kelly fits →
1. Set the boundaries
Starting values are editable illustrations, not recommended risk levels. Existing positions and free cash are manual inputs; this planner does not read or trade your account.
Open risk is sometimes called portfolio heat. The remaining budget is the smaller of your new-idea budget and the heat cap left after existing positions.
Optional: needs a calibrated target/stop probability for each idea. This adds a ceiling; it never overrides the portfolio limits or finds a joint Kelly optimum.
2. Compare your ideas
No open published setups are available. These HYPE short / PUMP long / LIT long examples use invented prices and weights to explain the mechanics.
Idea 2
Illustrative inputs — not a published trade recommendation.
All ideas share a group initially. Changing a label only changes your group cap; it does not prove diversification. Existing open risk is unclassified, so the planner reserves its full amount against every group. Longs and shorts receive no offsetting-risk credit.
3. Read the whole plan
Illustrative / manual allocation. These weights express your preferences, not forecast returns.
- Available new risk
- $300.00
- Assigned to these ideas
- $300.00
- Total open risk
- $300.00 (3%)
- Risk budget left unused
- $0.00
| Idea | New risk | Quantity | Position value | Cash / initial margin + costs | Net target R |
|---|---|---|---|---|---|
| HYPEshort · perp | $180.001.8% of equity · $2.07 fees at stop | 22.07614 | $2,207.61 | $2,211.00 | 2.44R |
| PUMPlong · spot | $120.001.2% of equity · $1.01 fees at stop | 591,395.2 | $1,182.79 | $1,184.51 | 1.96R |
| Total new exposure | $300.00 | — | $3,390.40 | $3,395.52 | — |
$300.00 is the combined planned stop loss, including $0.00 already open. It is not a guaranteed maximum loss. The $3,390.40 of new position value is a different number.
Weights share the budget until a limit binds; remaining capacity can go to other ideas. Unused budget is allowed. Available cash / margin and gross notional are shared constraints. Quantities are theoretical: exchange lot sizes, fee reserves and minimum orders still need checking.
Group limits
shared / unknown: $300.00 new risk / $300.00 available after reserving existing risk.
What if the exits are worse?
A simultaneous 2× stop-distance shock implies a modeled loss of $594.91 (5.95% of equity), leaving $9,405.09.
New positions use the stressed exit price and recalculate its fee, plus the additional buffer. A long’s modeled price cannot fall below zero. Existing risk is multiplied in full. This is an adverse co-loss stress, even for opposing trades; it is not a probability forecast or a claim that all those prices occur simultaneously.
Perps margin is not maximum loss. This is an approximate initial-margin calculation; venue maintenance margin, cross-collateral, liquidation rules and funding can make the plan infeasible before a stop fills. Leverage is never increased to fit the budget.
Why portfolio Kelly is different
One account cannot spend the same risk budget three times.
The coin game resets the available bankroll after each outcome. With three trades open together, their losses can arrive together. Applying a single-trade size independently to all three can produce much more account risk than you intended.
Start with dollars you can lose, not dollars you can buy
Suppose a $10,000 account has a 5% heat cap and $200 already at risk. It has at most $300 of new planned loss capacity. Illustrative weights of HYPE short 3, PUMP long 2 and LIT long 1 give $150, $100 and $50 before other limits. Conviction chooses a preference; it does not measure the probability of being right.
For a $100 entry and $95 stop, $150 of risk buys 30 units before costs: $3,000 of position value. A wider stop buys fewer units for the same risk. A tighter stop increases exposure and can run into cash, margin or execution limits.
Quantity = risk budget ÷ (distance to stop + adverse cost per unit)
The Kelly idea: compound the whole account
Kelly’s objective is long-run logarithmic growth under a specified return model. It is not the largest expected dollar profit on the next trade. It can still produce substantial short-term drawdowns. Kelly’s original paper.
For simultaneous positions, a genuine portfolio calculation needs the joint outcome distribution: how returns behave together, including bad periods. Separate win rates do not supply that information. Group caps and an adverse co-loss stress are conservative planning controls here, not a fitted correlation model. Busseti, Ryu & Boyd’s portfolio formulation.
Use a Kelly ceiling only when the assumptions mean something
For two outcomes, let p be the calibrated probability of the stated target before the stop, and b the net target gain divided by the modeled stop loss. The full-Kelly loss fraction is max(0, p − (1 − p) / b). The optional ceiling multiplies that fraction by one-half or one-quarter, then respects your tighter risk limits.
At 60% and a net 1:1 payoff, the simple model gives 20% full Kelly, 10% half and 5% quarter. These are large theoretical fractions, not default trading recommendations. A different payoff, costs, uncertain estimates or existing positions can change the answer. There is no universal $900-per-trade rule for a $10,000 account.
Fractional Kelly deliberately uses less than the modeled growth-maximizing amount; it does not certify a safe drawdown or repair bad inputs. This planner does not implement the formal probability bounds in risk-constrained Kelly research.
Do not mistake a stop for insurance
Stops can fill away from their trigger during fast or illiquid markets. Use the cost allowance and gap stress to see what a worse exit does; neither is a hard loss bound. SEC investor bulletin on stop orders. Derivative leverage can amplify losses beyond posted initial margin. CFTC margin-risk explanation.
A usable workflow: record comparable outcomes → estimate payoff and costs → reserve risk for existing trades → cap the new group → choose weights → check stops, exposure and margin → record what actually happened. If the assumptions show no positive edge, reducing size cannot turn that strategy profitable.