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 · +0.034 · f★ 3.5% · deploy 1.8% · net 2.64pp
§1 · Position economics
YES · Expected P/L per share +0.0339@ model P(YES) = 0.074
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 3.53% · g(f★) = 1.206%deploy 1.77% · g = 0.961%
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 +$374stake $441 · 1.77% of bankroll
Deployed stakestake
$441
1.77% of bankroll
Sharesunits
11,033
each pays $1 if YES
Max payoutwin
$11,033
gross, if win
Max profitwin
+$10,592
net of cost
Max losslose
-$441
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]
+$374
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 7.4% | +$10,592 | +$783 |
| Resolves against (lose) | 92.6% | -$441 | -$409 |
| Expected value | 100.0% | — | +$374 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +3.4 pprelative edge +84.7%
Required win ratebreak-even
4.0%
price = implied probability
Model win rateP(win)
7.4%
what you forecast
Cushionedge
+3.4 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
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 1473% · APY 4294038%ROI 84.7% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+84.7%
APR (simple)scaled
+1473%
ROI × 365/days
APY (compounded)if redeployed
+4294038%
(1+ROI)^(365/d) − 1
Daily expectedper day
+2.97%
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 +2.64 pperosion 22% · 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★
$883
3.53% · g = 1.206%
Half Kelly½ f★
$441
1.77% · g = 0.961%
Quarter Kelly¼ f★
$221
0.88% · g = 0.599%
Flat 1%1%
$250
1.00% · g = 0.659%
Flat 2%2%
$500
2.00% · g = 1.026%
Flat 5%5%
$1,250
5.00% · g = 1.076%
Recommended¼ f★
$221
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)
0.380 bit
Δ +0.138 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) = 0.0121 nat (0.0174 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 0.074 · 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
+3.4 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] +81.3% · P(YES) 7.2% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+81.25%
P(YES) empiricalq
7.2%
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 1.01% · ruin rate 9.0%400 paths × 120 bets · f deploy 1.77%
Sharpe / betμ/σ
0.145
μ 1.73% · σ 11.9%
Sortino / betμ/σ↓
0.979
downside-only denominator
VaR 95%5%
-1.8%
per-bet worst-case
CVaR 95%ES
-1.8%
mean tail loss
Max drawdownMDD
-20.7%
Calmar 0.05
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 -37.8pp · crowd gap -41.2pp
Anchor gapmodel − base
-37.8 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.