Half-Kelly sizing
Position sizing at 50% of the Kelly-optimal fraction. Dramatically reduces variance while sacrificing only ~25% of theoretical growth rate. The practical target is 1.5–2% of capital at risk per signal, consistent with Sigmentum's default risk model.
How Sigmentum uses it
Full Kelly sizing requires knowing your exact win rate and R:R with certainty — you never do. Your historical win rate is an estimate; your expected R:R is an assumption about future market behavior. Half-Kelly accounts for this estimation error: it halves the position size, reduces worst-case drawdowns by roughly half, and only cuts long-run growth rate by about 25%. For most traders, surviving large losing streaks outweighs the theoretical growth rate sacrifice.
Every Sigmentum signal shows the exact values — Half-Kelly sizing and the other three inputs — in the AI reasoning breakdown. Free account, no credit card.
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