NOSTRADAMUS · Position Analytics Engine
SIMULATOR Morocco
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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-morocco-199 page.
▲ YES EDGE · +0.044 · f★ 4.6% · deploy 2.3% · net 3.69pp
§1 · Position economics
YES · Expected P/L per share +0.0444@ model P(YES) = 0.073
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 4.57% · g(f★) = 2.514%deploy 2.29% · g = 2.060%
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 @ 0.028 · EV +$892stake $571 · 2.29% of bankroll
Deployed stakestake
$571
2.29% of bankroll
Sharesunits
20,088
each pays $1 if YES
Max payoutwin
$20,088
gross, if win
Max profitwin
+$19,516
net of cost
Max losslose
-$571
binary settles to $0
Payout multiple×
×35.16
$1 → $35.16
Risk:RewardR:R
34.16 : 1
win $34.16 per $1
Expected P/LE[P/L]
+$892
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 7.3% | +$19,516 | +$1,422 |
| Resolves against (lose) | 92.7% | -$571 | -$530 |
| Expected value | 100.0% | — | +$892 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +4.4 pprelative edge +156.1%
Required win ratebreak-even
2.8%
price = implied probability
Model win rateP(win)
7.3%
what you forecast
Cushionedge
+4.4 pp
margin of safety
Fair pricemodel
0.073
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
2.8%
= price
Decimal oddsEU
35.156
total return per $1
AmericanUS
+3416
$100 wins $3416
FractionalUK
34.16 / 1
profit per $1 risked
Profit per $100stake
+$3415.56
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 2714% · APY 1257205287%ROI 156.1% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+156.1%
APR (simple)scaled
+2714%
ROI × 365/days
APY (compounded)if redeployed
+1257205287%
(1+ROI)^(365/d) − 1
Daily expectedper day
+4.58%
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 +3.69 pperosion 17% · break-even w/ fees 3.6%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,143
4.57% · g = 2.514%
Half Kelly½ f★
$571
2.29% · g = 2.060%
Quarter Kelly¼ f★
$286
1.14% · g = 1.335%
Flat 1%1%
$250
1.00% · g = 1.209%
Flat 2%2%
$500
2.00% · g = 1.920%
Flat 5%5%
$1,250
5.00% · g = 2.502%
Recommended¼ f★
$286
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.187 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.376 bit
Δ +0.190 bit vs market
Surprise · YES−log₂ p
5.14 bit
self-information
Surprise · NO−log₂(1−p)
0.04 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
SIGNAL · D_KL(q ‖ p) = 0.0251 nat (0.0363 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 0.073 · CI [0.00, 0.23] · κ 17.8
Posterior meanE[θ]
0.073
Beta(1.3, 16.5)
95% credible intervalHDI
[0.00, 0.23]
price INSIDE → weak edge
Concentrationκ
17.8
pseudo-obs behind belief
Disagreementvs crowd
+4.4 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] +181.2% · P(YES) 8.0% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+181.24%
P(YES) empiricalq
8.0%
Best pathmax
+3415.6%
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 2.21% · ruin rate 10.5%400 paths × 120 bets · f deploy 2.29%
Sharpe / betμ/σ
0.186
μ 4.01% · σ 21.6%
Sortino / betμ/σ↓
1.755
downside-only denominator
VaR 95%5%
-2.3%
per-bet worst-case
CVaR 95%ES
-2.3%
mean tail loss
Max drawdownMDD
-26.0%
Calmar 0.09
Ruin rate≤50%
10.5%
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 -41.9pp · crowd gap -46.4pp
Anchor gapmodel − base
-41.9 pp
Crowd gapprice − base
-46.4 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 19.8% · AUC 0.765out-of-sample BSS (5-fold) 19.8% ± 1.3% · Brier 0.2005 · log-loss 0.6047 · n 1600✓ n = 1600
BrierBS
0.2005
lower = better · ō 0.51
BSSvs base
19.8%
improvement over base rate
ReliabilityREL
0.0044
miscalibration · want ↓
ResolutionRES
0.0525
decisiveness · want ↑
Log lossLL
0.6047
cross-entropy
AUCROC
0.765
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 1.07 · expectancy +0.036R180 trades · win 51.1% · Sharpe 0.028
Total P/Lnet
+$1,620
on $45,000 cycled
Win ratehit %
51.1%
92 W / 88 L
Profit factorPF
1.07
$ won / $ lost
Expectancyper trade
+$9.00
avg $ per position
R-expectancyper risk
+0.036R
in units of risk taken
Avg win / losspayoff
$256.73 / -$250.00
ratio 1.03 : 1
Sharpe / traderisk-adj
0.028
μR / σR
Closing line valueCLV
+3.28 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.