NOSTRADAMUS · Position Analytics Engine
SIMULATOR Cape Verde
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A live, interactive instrument for dissecting a single binary position. Sweep the inputs and watch every indicator recompute — payoff geometry, Kelly growth, Bayesian posterior, KL divergence, cost waterfall, Monte-Carlo equity fan, forecast calibration. Companion to the live /feed/hl-pred-cape-verde-296 page.
▲ YES EDGE · +0.059 · f★ 6.1% · deploy 3.1% · net 5.16pp
§1 · Position economics
YES · Expected P/L per share +0.0591@ model P(YES) = 0.092
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 6.11% · g(f★) = 3.761%deploy 3.06% · g = 3.102%
g(f)f★ optimumdeployed fgrowth zone
Underbet leaves growth on the table; overbet destroys capital. The interior maximum is f★.
§2 · The trade ticket
YES @ 0.033 · EV +$1,386stake $764 · 3.06% of bankroll
Deployed stakestake
$764
3.06% of bankroll
Sharesunits
23,433
each pays $1 if YES
Max payoutwin
$23,433
gross, if win
Max profitwin
+$22,669
net of cost
Max losslose
-$764
binary settles to $0
Payout multiple×
×30.67
$1 → $30.67
Risk:RewardR:R
29.67 : 1
win $29.67 per $1
Expected P/LE[P/L]
+$1,386
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 9.2% | +$22,669 | +$2,080 |
| Resolves against (lose) | 90.8% | -$764 | -$694 |
| Expected value | 100.0% | — | +$1,386 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +5.9 pprelative edge +181.4%
Required win ratebreak-even
3.3%
price = implied probability
Model win rateP(win)
9.2%
what you forecast
Cushionedge
+5.9 pp
margin of safety
Fair pricemodel
0.092
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
3.3%
= price
Decimal oddsEU
30.670
total return per $1
AmericanUS
+2967
$100 wins $2967
FractionalUK
29.67 / 1
profit per $1 risked
Profit per $100stake
+$2967.01
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 3152% · APY 6433184364%ROI 181.4% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+181.4%
APR (simple)scaled
+3152%
ROI × 365/days
APY (compounded)if redeployed
+6433184364%
(1+ROI)^(365/d) − 1
Daily expectedper day
+5.05%
geometric, per day held
Capital turns/yrvelocity
×17.4
how often this slot recycles
simple APRcompounded APYyour horizon
Rank positions by APR, not raw ROI. A thin edge tomorrow beats a fat edge next year.
§5 · Costs & net edge
Net edge +5.16 pperosion 13% · break-even w/ fees 4.0%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,528
6.11% · g = 3.761%
Half Kelly½ f★
$764
3.06% · g = 3.102%
Quarter Kelly¼ f★
$382
1.53% · g = 2.031%
Flat 1%1%
$250
1.00% · g = 1.471%
Flat 2%2%
$500
2.00% · g = 2.439%
Flat 5%5%
$1,250
5.00% · g = 3.686%
Recommended¼ f★
$382
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.207 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.442 bit
Δ +0.235 bit vs market
Surprise · YES−log₂ p
4.94 bit
self-information
Surprise · NO−log₂(1−p)
0.05 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
SIGNAL · D_KL(q ‖ p) = 0.0376 nat (0.0543 bit)exploitable edge present
YES contributionNO contributionbelief ‖ marketsignal
Zero KL ⇒ you know nothing the crowd doesn't.
§8 · Bayesian inference
MARKET PRICE INSIDE 95% CIposterior μ 0.092 · CI [0.01, 0.24] · κ 22.1
Posterior meanE[θ]
0.092
Beta(2.0, 20.1)
95% credible intervalHDI
[0.01, 0.24]
price INSIDE → weak edge
Concentrationκ
22.1
pseudo-obs behind belief
Disagreementvs crowd
+5.9 pp
posterior − price
market prior (dashed)model posterior95% credible bandmarket price
When the market price falls outside the 95% credible interval, your disagreement is statistically meaningful.
§9 · Tail risk · Monte-Carlo (mode A · single position to resolution)
E[P/L] +206.7% · P(YES) 10.0% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+206.70%
P(YES) empiricalq
10.0%
Best pathmax
+2967.0%
Worst pathmin
-100.0%
VaR 95%5%
100.0%
CVaR 95%ES
100.0%
median path25/75 + 5/95 bandsentry pricemodel q
Logit-space mean-reverting walk + terminal flip with probability q. Answers: 'what happens to THIS one position'. Distinct from the repeated-edge fan below.
§9b · Tail risk · Monte-Carlo (mode B · repeated independent edges)
Median CAGR/bet 3.15% · ruin rate 15.5%400 paths × 120 bets · f deploy 3.06%
Sharpe / betμ/σ
0.207
μ 5.64% · σ 27.2%
Sortino / betμ/σ↓
1.844
downside-only denominator
VaR 95%5%
-3.1%
per-bet worst-case
CVaR 95%ES
-3.1%
mean tail loss
Max drawdownMDD
-31.1%
Calmar 0.10
Ruin rate≤50%
15.5%
P(equity ever ≤ 50%)
median25/75 band5/95 bandruin line
Answers a different question: 'if I could find this exact edge forever, what is the bankroll trajectory'. Compounds 120 sequential resolutions which is NOT what happens to a single position.
§10 · Base-rate & macro context
ANCHORED · supported by convictionanchor gap -34.4pp · crowd gap -40.3pp
Anchor gapmodel − base
-34.4 pp
Crowd gapprice − base
-40.3 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 22.2% · AUC 0.779out-of-sample BSS (5-fold) 22.3% ± 4.0% · Brier 0.1944 · log-loss 0.5825 · n 1600✓ n = 1600
BrierBS
0.1944
lower = better · ō 0.49
BSSvs base
22.2%
improvement over base rate
ReliabilityREL
0.0035
miscalibration · want ↓
ResolutionRES
0.0585
decisiveness · want ↑
Log lossLL
0.5825
cross-entropy
AUCROC
0.779
0.5 coin · 1.0 oracle
calibration curveROCUNC (irreducible)RES (skill, ↑)REL (miscalib, ↓)
Computed on a seeded synthetic forecast ledger. Reseed (⟳) to redraw.
§12 · Journal vitals (synthetic ledger)
BLEEDING · PF 0.99 · expectancy -0.003R180 trades · win 49.4% · Sharpe -0.002
Total P/Lnet
-$116
on $45,000 cycled
Win ratehit %
49.4%
89 W / 91 L
Profit factorPF
0.99
$ won / $ lost
Expectancyper trade
-$0.65
avg $ per position
R-expectancyper risk
-0.003R
in units of risk taken
Avg win / losspayoff
$254.31 / -$250.00
ratio 1.02 : 1
Sharpe / traderisk-adj
-0.002
μR / σR
Closing line valueCLV
+2.16 pp
avg edge vs close
cumulative P/Lprofitable zonered zonesynthetic · seeded from asset
The scorecard every trader checks. Synthetic ledger seeded from the asset slug — recomputes against your real fill history once wired.