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 · +0.052 · f★ 5.4% · deploy 2.7% · net 4.49pp
§1 · Position economics
YES · Expected P/L per share +0.0524@ model P(YES) = 0.074
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 5.35% · g(f★) = 4.014%deploy 2.68% · g = 3.364%
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 @ 0.022 · EV +$1,624stake $669 · 2.68% of bankroll
Deployed stakestake
$669
2.68% of bankroll
Sharesunits
31,028
each pays $1 if YES
Max payoutwin
$31,028
gross, if win
Max profitwin
+$30,360
net of cost
Max losslose
-$669
binary settles to $0
Payout multiple×
×46.39
$1 → $46.39
Risk:RewardR:R
45.39 : 1
win $45.39 per $1
Expected P/LE[P/L]
+$1,624
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 7.4% | +$30,360 | +$2,244 |
| Resolves against (lose) | 92.6% | -$669 | -$619 |
| Expected value | 100.0% | — | +$1,624 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +5.2 pprelative edge +242.9%
Required win ratebreak-even
2.2%
price = implied probability
Model win rateP(win)
7.4%
what you forecast
Cushionedge
+5.2 pp
margin of safety
Fair pricemodel
0.074
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
2.2%
= price
Decimal oddsEU
46.393
total return per $1
AmericanUS
+4539
$100 wins $4539
FractionalUK
45.39 / 1
profit per $1 risked
Profit per $100stake
+$4539.29
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 4221% · APY 200080890401%ROI 242.9% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+242.9%
APR (simple)scaled
+4221%
ROI × 365/days
APY (compounded)if redeployed
+200080890401%
(1+ROI)^(365/d) − 1
Daily expectedper day
+6.04%
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 +4.49 pperosion 14% · break-even w/ fees 2.9%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,338
5.35% · g = 4.014%
Half Kelly½ f★
$669
2.68% · g = 3.364%
Quarter Kelly¼ f★
$334
1.34% · g = 2.260%
Flat 1%1%
$250
1.00% · g = 1.835%
Flat 2%2%
$500
2.00% · g = 2.903%
Flat 5%5%
$1,250
5.00% · g = 4.005%
Recommended¼ f★
$334
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.150 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.380 bit
Δ +0.230 bit vs market
Surprise · YES−log₂ p
5.54 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).
SIGNAL · D_KL(q ‖ p) = 0.0401 nat (0.0579 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 0.074 · CI [0.00, 0.23] · κ 18.0
Posterior meanE[θ]
0.074
Beta(1.3, 16.7)
95% credible intervalHDI
[0.00, 0.23]
price INSIDE → weak edge
Concentrationκ
18.0
pseudo-obs behind belief
Disagreementvs crowd
+5.2 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] +282.7% · P(YES) 8.3% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+282.74%
P(YES) empiricalq
8.3%
Best pathmax
+4539.3%
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 3.51% · ruin rate 17.8%400 paths × 120 bets · f deploy 2.68%
Sharpe / betμ/σ
0.211
μ 7.04% · σ 33.3%
Sortino / betμ/σ↓
2.631
downside-only denominator
VaR 95%5%
-2.7%
per-bet worst-case
CVaR 95%ES
-2.7%
mean tail loss
Max drawdownMDD
-31.6%
Calmar 0.11
Ruin rate≤50%
17.8%
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 -47.4pp · crowd gap -52.6pp
Anchor gapmodel − base
-47.4 pp
Crowd gapprice − base
-52.6 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.