NOSTRADAMUS · Position Analytics Engine
SIMULATOR Curacao
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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-curacao-320 page.
▲ YES EDGE · +0.032 · f★ 3.3% · deploy 1.6% · net 2.46pp
§1 · Position economics
YES · Expected P/L per share +0.0321@ model P(YES) = 0.051
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 3.27% · g(f★) = 1.879%deploy 1.64% · g = 1.546%
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 @ 0.019 · EV +$681stake $409 · 1.64% of bankroll
Deployed stakestake
$409
1.64% of bankroll
Sharesunits
21,219
each pays $1 if YES
Max payoutwin
$21,219
gross, if win
Max profitwin
+$20,810
net of cost
Max losslose
-$409
binary settles to $0
Payout multiple×
×51.87
$1 → $51.87
Risk:RewardR:R
50.87 : 1
win $50.87 per $1
Expected P/LE[P/L]
+$681
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 5.1% | +$20,810 | +$1,069 |
| Resolves against (lose) | 94.9% | -$409 | -$388 |
| Expected value | 100.0% | — | +$681 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +3.2 pprelative edge +166.5%
Required win ratebreak-even
1.9%
price = implied probability
Model win rateP(win)
5.1%
what you forecast
Cushionedge
+3.2 pp
margin of safety
Fair pricemodel
0.051
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
1.9%
= price
Decimal oddsEU
51.867
total return per $1
AmericanUS
+5087
$100 wins $5087
FractionalUK
50.87 / 1
profit per $1 risked
Profit per $100stake
+$5086.72
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 2894% · APY 2503139944%ROI 166.5% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+166.5%
APR (simple)scaled
+2894%
ROI × 365/days
APY (compounded)if redeployed
+2503139944%
(1+ROI)^(365/d) − 1
Daily expectedper day
+4.78%
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 +2.46 pperosion 23% · break-even w/ fees 2.7%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$818
3.27% · g = 1.879%
Half Kelly½ f★
$409
1.64% · g = 1.546%
Quarter Kelly¼ f★
$205
0.82% · g = 1.008%
Flat 1%1%
$250
1.00% · g = 1.159%
Flat 2%2%
$500
2.00% · g = 1.689%
Flat 5%5%
$1,250
5.00% · g = 1.634%
Recommended¼ f★
$205
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.137 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.292 bit
Δ +0.155 bit vs market
Surprise · YES−log₂ p
5.70 bit
self-information
Surprise · NO−log₂(1−p)
0.03 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0188 nat (0.0271 bit)belief ≈ market — stand down
YES contributionNO contributionbelief ‖ marketnoise
Zero KL ⇒ you know nothing the crowd doesn't.
§8 · Bayesian inference
MARKET PRICE INSIDE 95% CIposterior μ 0.051 · CI [0.00, 0.22] · κ 12.5
Posterior meanE[θ]
0.051
Beta(0.6, 11.9)
95% credible intervalHDI
[0.00, 0.22]
price INSIDE → weak edge
Concentrationκ
12.5
pseudo-obs behind belief
Disagreementvs crowd
+3.1 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] +198.2% · P(YES) 5.8% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+198.24%
P(YES) empiricalq
5.8%
Best pathmax
+5086.7%
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 2.00% · ruin rate 10.0%400 paths × 120 bets · f deploy 1.64%
Sharpe / betμ/σ
0.171
μ 3.44% · σ 20.1%
Sortino / betμ/σ↓
2.101
downside-only denominator
VaR 95%5%
-1.6%
per-bet worst-case
CVaR 95%ES
-1.6%
mean tail loss
Max drawdownMDD
-24.5%
Calmar 0.08
Ruin rate≤50%
10.0%
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 -49.7pp · crowd gap -52.9pp
Anchor gapmodel − base
-49.7 pp
Crowd gapprice − base
-52.9 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 23.5% · AUC 0.785out-of-sample BSS (5-fold) 23.5% ± 1.9% · Brier 0.1910 · log-loss 0.5770 · n 1600✓ n = 1600
BrierBS
0.1910
lower = better · ō 0.52
BSSvs base
23.5%
improvement over base rate
ReliabilityREL
0.0029
miscalibration · want ↓
ResolutionRES
0.0608
decisiveness · want ↑
Log lossLL
0.5770
cross-entropy
AUCROC
0.785
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)
PROFITABLE · PF 1.35 · expectancy +0.154R180 trades · win 56.7% · Sharpe 0.117
Total P/Lnet
+$6,914
on $45,000 cycled
Win ratehit %
56.7%
102 W / 78 L
Profit factorPF
1.35
$ won / $ lost
Expectancyper trade
+$38.41
avg $ per position
R-expectancyper risk
+0.154R
in units of risk taken
Avg win / losspayoff
$258.96 / -$250.00
ratio 1.04 : 1
Sharpe / traderisk-adj
0.117
μR / σR
Closing line valueCLV
+2.70 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.