NOSTRADAMUS · Position Analytics Engine
SIMULATOR Spread: Spain (-4.5)
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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/pm-fifwc-esp-cvi-2026-06-15-spread-home-4pt5 page.
▲ YES EDGE · +0.022 · f★ 2.7% · deploy 1.4% · net 1.41pp
§1 · Position economics
YES · Expected P/L per share +0.0216@ model P(YES) = 0.232
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 2.73% · g(f★) = 0.137%deploy 1.37% · g = 0.104%
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 @ 0.210 · EV +$35stake $342 · 1.37% of bankroll
Deployed stakestake
$342
1.37% of bankroll
Sharesunits
1,627
each pays $1 if YES
Max payoutwin
$1,627
gross, if win
Max profitwin
+$1,285
net of cost
Max losslose
-$342
binary settles to $0
Payout multiple×
×4.76
$1 → $4.76
Risk:RewardR:R
3.76 : 1
win $3.76 per $1
Expected P/LE[P/L]
+$35
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 23.2% | +$1,285 | +$298 |
| Resolves against (lose) | 76.8% | -$342 | -$263 |
| Expected value | 100.0% | — | +$35 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +2.2 pprelative edge +10.3%
Required win ratebreak-even
21.0%
price = implied probability
Model win rateP(win)
23.2%
what you forecast
Cushionedge
+2.2 pp
margin of safety
Fair pricemodel
0.232
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
21.0%
= price
Decimal oddsEU
4.762
total return per $1
AmericanUS
+376
$100 wins $376
FractionalUK
3.76 / 1
profit per $1 risked
Profit per $100stake
+$376.19
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 179% · APY 448%ROI 10.3% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+10.3%
APR (simple)scaled
+179%
ROI × 365/days
APY (compounded)if redeployed
+448%
(1+ROI)^(365/d) − 1
Daily expectedper day
+0.47%
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 +1.41 pperosion 35% · break-even w/ fees 21.8%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$683
2.73% · g = 0.137%
Half Kelly½ f★
$342
1.37% · g = 0.104%
Quarter Kelly¼ f★
$171
0.68% · g = 0.061%
Flat 1%1%
$250
1.00% · g = 0.083%
Flat 2%2%
$500
2.00% · g = 0.128%
Flat 5%5%
$1,250
5.00% · g = 0.050%
Recommended¼ f★
$171
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.741 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.781 bit
Δ +0.039 bit vs market
Surprise · YES−log₂ p
2.25 bit
self-information
Surprise · NO−log₂(1−p)
0.34 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0014 nat (0.0020 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 0.232 · CI [0.13, 0.36] · κ 48.4
Posterior meanE[θ]
0.232
Beta(11.2, 37.2)
95% credible intervalHDI
[0.13, 0.36]
price INSIDE → weak edge
Concentrationκ
48.4
pseudo-obs behind belief
Disagreementvs crowd
+2.2 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] +2.4% · P(YES) 21.5% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+2.38%
P(YES) empiricalq
21.5%
Best pathmax
+376.2%
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 0.11% · ruin rate 0.3%400 paths × 120 bets · f deploy 1.37%
Sharpe / betμ/σ
0.051
μ 0.14% · σ 2.7%
Sortino / betμ/σ↓
0.103
downside-only denominator
VaR 95%5%
-1.4%
per-bet worst-case
CVaR 95%ES
-1.4%
mean tail loss
Max drawdownMDD
-6.6%
Calmar 0.02
Ruin rate≤50%
0.3%
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 -36.6pp · crowd gap -38.8pp
Anchor gapmodel − base
-36.6 pp
Crowd gapprice − base
-38.8 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 18.1% · AUC 0.757out-of-sample BSS (5-fold) 18.3% ± 3.2% · Brier 0.2041 · log-loss 0.6062 · n 1600✓ n = 1600
BrierBS
0.2041
lower = better · ō 0.52
BSSvs base
18.1%
improvement over base rate
ReliabilityREL
0.0056
miscalibration · want ↓
ResolutionRES
0.0510
decisiveness · want ↑
Log lossLL
0.6062
cross-entropy
AUCROC
0.757
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 0.75 · expectancy -0.131R180 trades · win 46.7% · Sharpe -0.130
Total P/Lnet
-$5,897
on $45,000 cycled
Win ratehit %
46.7%
84 W / 96 L
Profit factorPF
0.75
$ won / $ lost
Expectancyper trade
-$32.76
avg $ per position
R-expectancyper risk
-0.131R
in units of risk taken
Avg win / losspayoff
$215.51 / -$250.00
ratio 0.86 : 1
Sharpe / traderisk-adj
-0.130
μR / σR
Closing line valueCLV
+2.34 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.