NOSTRADAMUS · Position Analytics Engine
SIMULATOR SKR-USD perpetual
Spot mark $0.01 · directional bet: P(price higher at horizon)
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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-skr page.
▲ YES EDGE · +0.009 · f★ 1.9% · deploy 0.9% · net 0.19pp
§1 · Position economics
YES · Expected P/L per share +0.0094@ model P(YES) = 0.509
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 1.88% · g(f★) = 0.018%deploy 0.94% · g = 0.013%
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 @ 0.500 · EV +$4stake $236 · 0.94% of bankroll
Deployed stakestake
$236
0.94% of bankroll
Sharesunits
471
each pays $1 if YES
Max payoutwin
$471
gross, if win
Max profitwin
+$236
net of cost
Max losslose
-$236
binary settles to $0
Payout multiple×
×2.00
$1 → $2.00
Risk:RewardR:R
1.00 : 1
win $1.00 per $1
Expected P/LE[P/L]
+$4
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 50.9% | +$236 | +$120 |
| Resolves against (lose) | 49.1% | -$236 | -$116 |
| Expected value | 100.0% | — | +$4 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +0.9 pprelative edge +1.9%
Required win ratebreak-even
50.0%
price = implied probability
Model win rateP(win)
50.9%
what you forecast
Cushionedge
+0.9 pp
margin of safety
Fair pricemodel
0.509
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
50.0%
= price
Decimal oddsEU
2.000
total return per $1
AmericanUS
-100
risk $100 to win $100
FractionalUK
1.00 / 1
profit per $1 risked
Profit per $100stake
+$100.00
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 33% · APY 38%ROI 1.9% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+1.9%
APR (simple)scaled
+33%
ROI × 365/days
APY (compounded)if redeployed
+38%
(1+ROI)^(365/d) − 1
Daily expectedper day
+0.09%
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 +0.19 pperosion 80% · break-even w/ fees 50.7%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$471
1.88% · g = 0.018%
Half Kelly½ f★
$236
0.94% · g = 0.013%
Quarter Kelly¼ f★
$118
0.47% · g = 0.008%
Flat 1%1%
$250
1.00% · g = 0.014%
Flat 2%2%
$500
2.00% · g = 0.018%
Flat 5%5%
$1,250
5.00% · g = -0.031%
Recommended¼ f★
$118
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
1.000 bit
max 1.0 at p = 0.5
Your entropyH(q)
1.000 bit
Δ -0.000 bit vs market
Surprise · YES−log₂ p
1.00 bit
self-information
Surprise · NO−log₂(1−p)
1.00 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0002 nat (0.0003 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 0.509 · CI [0.39, 0.63] · κ 68.4
Posterior meanE[θ]
0.509
Beta(34.9, 33.6)
95% credible intervalHDI
[0.39, 0.63]
price INSIDE → weak edge
Concentrationκ
68.4
pseudo-obs behind belief
Disagreementvs crowd
+0.9 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] -2.0% · P(YES) 49.0% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
-2.00%
P(YES) empiricalq
49.0%
Best pathmax
+100.0%
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 0.01% · ruin rate 0.0%400 paths × 120 bets · f deploy 0.94%
Sharpe / betμ/σ
0.014
μ 0.01% · σ 0.9%
Sortino / betμ/σ↓
0.014
downside-only denominator
VaR 95%5%
-0.9%
per-bet worst-case
CVaR 95%ES
-0.9%
mean tail loss
Max drawdownMDD
-2.1%
Calmar 0.01
Ruin rate≤50%
0.0%
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 -3.7pp · crowd gap -4.6pp
Anchor gapmodel − base
-3.7 pp
Crowd gapprice − base
-4.6 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 19.1% · AUC 0.762out-of-sample BSS (5-fold) 19.1% ± 2.3% · Brier 0.2022 · log-loss 0.6059 · n 1600✓ n = 1600
BrierBS
0.2022
lower = better · ō 0.49
BSSvs base
19.1%
improvement over base rate
ReliabilityREL
0.0048
miscalibration · want ↓
ResolutionRES
0.0521
decisiveness · want ↑
Log lossLL
0.6059
cross-entropy
AUCROC
0.762
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 1.05 · expectancy +0.023R180 trades · win 51.7% · Sharpe 0.021
Total P/Lnet
+$1,033
on $45,000 cycled
Win ratehit %
51.7%
93 W / 87 L
Profit factorPF
1.05
$ won / $ lost
Expectancyper trade
+$5.74
avg $ per position
R-expectancyper risk
+0.023R
in units of risk taken
Avg win / losspayoff
$244.98 / -$250.00
ratio 0.98 : 1
Sharpe / traderisk-adj
0.021
μR / σR
Closing line valueCLV
+2.54 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.