NOSTRADAMUS · Position Analytics Engine
SIMULATOR Will BTC trimmed mean be above $75000.00 by 11:59 PM ET on Jun 30, 2026?
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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/kalshi-kxbtcmaxmon-btc-26jun30-7500000 page.
▲ YES EDGE · +0.039 · f★ 4.1% · deploy 2.0% · net 3.17pp
§1 · Position economics
YES · Expected P/L per share +0.0392@ model P(YES) = 0.079
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 4.08% · g(f★) = 1.572%deploy 2.04% · g = 1.260%
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 @ 0.040 · EV +$500stake $511 · 2.04% of bankroll
Deployed stakestake
$511
2.04% of bankroll
Sharesunits
12,764
each pays $1 if YES
Max payoutwin
$12,764
gross, if win
Max profitwin
+$12,253
net of cost
Max losslose
-$511
binary settles to $0
Payout multiple×
×25.00
$1 → $25.00
Risk:RewardR:R
24.00 : 1
win $24.00 per $1
Expected P/LE[P/L]
+$500
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 7.9% | +$12,253 | +$971 |
| Resolves against (lose) | 92.1% | -$511 | -$470 |
| Expected value | 100.0% | — | +$500 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +3.9 pprelative edge +98.0%
Required win ratebreak-even
4.0%
price = implied probability
Model win rateP(win)
7.9%
what you forecast
Cushionedge
+3.9 pp
margin of safety
Fair pricemodel
0.079
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
4.0%
= price
Decimal oddsEU
25.000
total return per $1
AmericanUS
+2400
$100 wins $2400
FractionalUK
24.00 / 1
profit per $1 risked
Profit per $100stake
+$2400.00
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 1704% · APY 14365238%ROI 98.0% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+98.0%
APR (simple)scaled
+1704%
ROI × 365/days
APY (compounded)if redeployed
+14365238%
(1+ROI)^(365/d) − 1
Daily expectedper day
+3.31%
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 +3.17 pperosion 19% · break-even w/ fees 4.8%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,021
4.08% · g = 1.572%
Half Kelly½ f★
$511
2.04% · g = 1.260%
Quarter Kelly¼ f★
$255
1.02% · g = 0.791%
Flat 1%1%
$250
1.00% · g = 0.778%
Flat 2%2%
$500
2.00% · g = 1.245%
Flat 5%5%
$1,250
5.00% · g = 1.522%
Recommended¼ f★
$255
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.242 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.399 bit
Δ +0.157 bit vs market
Surprise · YES−log₂ p
4.64 bit
self-information
Surprise · NO−log₂(1−p)
0.06 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0157 nat (0.0227 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 0.079 · CI [0.01, 0.23] · κ 19.3
Posterior meanE[θ]
0.079
Beta(1.5, 17.7)
95% credible intervalHDI
[0.01, 0.23]
price INSIDE → weak edge
Concentrationκ
19.3
pseudo-obs behind belief
Disagreementvs crowd
+3.9 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] +112.5% · P(YES) 8.5% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+112.50%
P(YES) empiricalq
8.5%
Best pathmax
+2400.0%
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 1.44% · ruin rate 9.0%400 paths × 120 bets · f deploy 2.04%
Sharpe / betμ/σ
0.159
μ 2.25% · σ 14.2%
Sortino / betμ/σ↓
1.103
downside-only denominator
VaR 95%5%
-2.0%
per-bet worst-case
CVaR 95%ES
-2.0%
mean tail loss
Max drawdownMDD
-21.9%
Calmar 0.07
Ruin rate≤50%
9.0%
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 -37.3pp · crowd gap -41.2pp
Anchor gapmodel − base
-37.3 pp
Crowd gapprice − base
-41.2 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 22.8% · AUC 0.780out-of-sample BSS (5-fold) 23.0% ± 1.1% · Brier 0.1929 · log-loss 0.5749 · n 1600✓ n = 1600
BrierBS
0.1929
lower = better · ō 0.51
BSSvs base
22.8%
improvement over base rate
ReliabilityREL
0.0029
miscalibration · want ↓
ResolutionRES
0.0597
decisiveness · want ↑
Log lossLL
0.5749
cross-entropy
AUCROC
0.780
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 0.85 · expectancy -0.077R180 trades · win 49.4% · Sharpe -0.077
Total P/Lnet
-$3,486
on $45,000 cycled
Win ratehit %
49.4%
89 W / 91 L
Profit factorPF
0.85
$ won / $ lost
Expectancyper trade
-$19.37
avg $ per position
R-expectancyper risk
-0.077R
in units of risk taken
Avg win / losspayoff
$216.45 / -$250.00
ratio 0.87 : 1
Sharpe / traderisk-adj
-0.077
μR / σR
Closing line valueCLV
+2.65 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.