Worked f-star from a 55% win rate and 1.80R payoff
f-star = (W x R - (1 - W)) / R. Plug W = 0.55, R = 1.80: (0.55 x 1.80) - 0.45 = 0.99 - 0.45 = 0.54; 0.54 / 1.80 = 0.30. Half-Kelly = 0.15. Quarter-Kelly = 0.075. A $100,000 book at Quarter-Kelly would risk $7,500 per ticket. FTMO daily loss is $5,000. Quarter-Kelly is already larger than the daily rule, so the binding constraint is the prop floor, not Kelly.
Shift to a scalp book: W = 0.62, R = 1.50. f-star = (0.93 - 0.38) / 1.50 = 0.367. Quarter-Kelly = 9.2%, still illegal on a 5% daily. Only when W = 0.48 and R = 1.20 does f-star go negative: (0.576 - 0.52) / 1.20 = 0.047, and you should not trade that engine at all. Negative Kelly is a halt signal, not a tiny lot.
Estimation error, 40-trade samples, and why we haircut
Kelly assumes you know W and R. After 40 closed trades a 55% print has a Wilson interval roughly 40% to 69% at 90% confidence. If true W is 0.48 at R = 1.80, f-star collapses to (0.864 - 0.52) / 1.80 = 0.191, and Half-Kelly is 9.6%, still fatal versus 5% daily. That is why Venasri stores a rolling 80-trade W and R in Venasri Performance Analytics and feeds Quarter-Kelly only as an upper bound, then min against 0.50% (or 0.35% on Maven/Blue Guardian 1% single-trade caps).
Ed Thorp's practical writing on fractional Kelly, and later algo-trading risk notes through 2024 to 2026, treat 0.25x to 0.50x Kelly as the survivable band when edge is estimated, not known. Prop accounts add a second haircut: the 5% / 10% rule is a absorbing barrier, which vanilla Kelly never modeled.
Bandit scaling after wins, never a jump to Half-Kelly live
Venasri connects to MetaTrader 5 and protects the account with Equity Guard, Manual Trade Guard, and position-size limits. Internal signal rules, model design, and connection details are not published here.
Wire Kelly into lot size and the 5% daily lock
Take the min of (Quarter-Kelly, 0.50%, remaining daily budget / planned stop count). If daily remaining is $3,200 and you allow four attempts, per-trade risk is $800 (0.80%), which still exceeds our 0.50% house cap, so use $500. Feed $500 into the MT5 lot size calculator, then start free on Venasri so 24/7 MT5 Bot Control cannot override the cap from a mobile market order.
Recompute W and R monthly. If payoff falls from 1.80R to 1.15R because of early TP grabs, f-star at W = 0.55 becomes (0.6325 - 0.45) / 1.15 = 0.159, Quarter-Kelly 4.0%, and your 0.50% cap is finally below Kelly instead of far below. Fix the disposition effect before you raise size.
