NOSTRADAMUS · Position Analytics Engine
SIMULATOR Will Wyndham Clark win the RBC Canadian Open?
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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-kxpgatour-rbbcan26-wcla page.
▲ YES EDGE · +0.045 · f★ 5.3% · deploy 2.6% · net 3.74pp
§1 · Position economics
YES · Expected P/L per share +0.0449@ model P(YES) = 0.195
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 5.29% · g(f★) = 0.735%deploy 2.64% · g = 0.564%
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 @ 0.150 · EV +$198stake $661 · 2.64% of bankroll
Deployed stakestake
$661
2.64% of bankroll
Sharesunits
4,406
each pays $1 if YES
Max payoutwin
$4,406
gross, if win
Max profitwin
+$3,745
net of cost
Max losslose
-$661
binary settles to $0
Payout multiple×
×6.67
$1 → $6.67
Risk:RewardR:R
5.67 : 1
win $5.67 per $1
Expected P/LE[P/L]
+$198
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 19.5% | +$3,745 | +$730 |
| Resolves against (lose) | 80.5% | -$661 | -$532 |
| Expected value | 100.0% | — | +$198 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +4.5 pprelative edge +30.0%
Required win ratebreak-even
15.0%
price = implied probability
Model win rateP(win)
19.5%
what you forecast
Cushionedge
+4.5 pp
margin of safety
Fair pricemodel
0.195
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
15.0%
= price
Decimal oddsEU
6.667
total return per $1
AmericanUS
+567
$100 wins $567
FractionalUK
5.67 / 1
profit per $1 risked
Profit per $100stake
+$566.67
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 521% · APY 9406%ROI 30.0% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+30.0%
APR (simple)scaled
+521%
ROI × 365/days
APY (compounded)if redeployed
+9406%
(1+ROI)^(365/d) − 1
Daily expectedper day
+1.26%
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 +3.74 pperosion 17% · break-even w/ fees 15.8%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,322
5.29% · g = 0.735%
Half Kelly½ f★
$661
2.64% · g = 0.564%
Quarter Kelly¼ f★
$330
1.32% · g = 0.337%
Flat 1%1%
$250
1.00% · g = 0.265%
Flat 2%2%
$500
2.00% · g = 0.466%
Flat 5%5%
$1,250
5.00% · g = 0.733%
Recommended¼ f★
$330
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.610 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.712 bit
Δ +0.102 bit vs market
Surprise · YES−log₂ p
2.74 bit
self-information
Surprise · NO−log₂(1−p)
0.23 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0074 nat (0.0106 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 0.195 · CI [0.09, 0.32] · κ 42.6
Posterior meanE[θ]
0.195
Beta(8.3, 34.3)
95% credible intervalHDI
[0.09, 0.32]
price INSIDE → weak edge
Concentrationκ
42.6
pseudo-obs behind belief
Disagreementvs crowd
+4.5 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] +38.3% · P(YES) 20.8% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+38.33%
P(YES) empiricalq
20.8%
Best pathmax
+566.7%
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 0.51% · ruin rate 6.0%400 paths × 120 bets · f deploy 2.64%
Sharpe / betμ/σ
0.117
μ 0.82% · σ 7.0%
Sortino / betμ/σ↓
0.309
downside-only denominator
VaR 95%5%
-2.6%
per-bet worst-case
CVaR 95%ES
-2.6%
mean tail loss
Max drawdownMDD
-12.5%
Calmar 0.04
Ruin rate≤50%
6.0%
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 -25.7pp · crowd gap -30.2pp
Anchor gapmodel − base
-25.7 pp
Crowd gapprice − base
-30.2 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 18.3% · AUC 0.759out-of-sample BSS (5-fold) 18.4% ± 1.2% · Brier 0.2041 · log-loss 0.6057 · n 1600✓ n = 1600
BrierBS
0.2041
lower = better · ō 0.52
BSSvs base
18.3%
improvement over base rate
ReliabilityREL
0.0051
miscalibration · want ↓
ResolutionRES
0.0503
decisiveness · want ↑
Log lossLL
0.6057
cross-entropy
AUCROC
0.759
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 1.36 · expectancy +0.153R180 trades · win 57.8% · Sharpe 0.137
Total P/Lnet
+$6,895
on $45,000 cycled
Win ratehit %
57.8%
104 W / 76 L
Profit factorPF
1.36
$ won / $ lost
Expectancyper trade
+$38.30
avg $ per position
R-expectancyper risk
+0.153R
in units of risk taken
Avg win / losspayoff
$248.99 / -$250.00
ratio 1.00 : 1
Sharpe / traderisk-adj
0.137
μR / σR
Closing line valueCLV
+2.98 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.