Quarter Kelly is the most conservative Kelly variant - 25% of the raw Kelly fraction.
Shape
"position_sizing": {
"method": "quarter_kelly",
"estimated_win_rate": 0.55,
"estimated_rr_ratio": 1.5,
"max_position_pct": 10
}When to pick this
- The strategy is brand new or you're skeptical of the estimated edge.
- Smooth equity curve matters more than maximum growth.
- You're combining multiple strategies and want each to occupy a small share of capital.
Trade-off
Long-run growth is slower than half-Kelly or full Kelly, but drawdowns are also much smaller. For most discretionary or discretion-adjacent strategies, this is the right starting point.