NOSTRADAMUS · Position Analytics Engine
SIMULATOR Israel closes its airspace by June 30?
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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-israel-closes-its-airspace-by-june-30-324-253-464-332-827-713-671-846 page.
▲ YES EDGE · +0.060 · f★ 8.0% · deploy 4.0% · net 5.21pp
§1 · Position economics
YES · Expected P/L per share +0.0596@ model P(YES) = 0.320
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 8.05% · g(f★) = 0.882%deploy 4.02% · g = 0.670%
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 @ 0.260 · EV +$230stake $1,006 · 4.02% of bankroll
Deployed stakestake
$1,006
4.02% of bankroll
Sharesunits
3,870
each pays $1 if YES
Max payoutwin
$3,870
gross, if win
Max profitwin
+$2,864
net of cost
Max losslose
-$1,006
binary settles to $0
Payout multiple×
×3.85
$1 → $3.85
Risk:RewardR:R
2.85 : 1
win $2.85 per $1
Expected P/LE[P/L]
+$230
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 32.0% | +$2,864 | +$915 |
| Resolves against (lose) | 68.0% | -$1,006 | -$685 |
| Expected value | 100.0% | — | +$230 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +6.0 pprelative edge +22.9%
Required win ratebreak-even
26.0%
price = implied probability
Model win rateP(win)
32.0%
what you forecast
Cushionedge
+6.0 pp
margin of safety
Fair pricemodel
0.320
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
26.0%
= price
Decimal oddsEU
3.846
total return per $1
AmericanUS
+285
$100 wins $285
FractionalUK
2.85 / 1
profit per $1 risked
Profit per $100stake
+$284.62
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 398% · APY 3506%ROI 22.9% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+22.9%
APR (simple)scaled
+398%
ROI × 365/days
APY (compounded)if redeployed
+3506%
(1+ROI)^(365/d) − 1
Daily expectedper day
+0.99%
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 +5.21 pperosion 13% · break-even w/ fees 26.8%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$2,012
8.05% · g = 0.882%
Half Kelly½ f★
$1,006
4.02% · g = 0.670%
Quarter Kelly¼ f★
$503
2.01% · g = 0.397%
Flat 1%1%
$250
1.00% · g = 0.213%
Flat 2%2%
$500
2.00% · g = 0.394%
Flat 5%5%
$1,250
5.00% · g = 0.762%
Recommended¼ f★
$503
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.827 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.904 bit
Δ +0.077 bit vs market
Surprise · YES−log₂ p
1.94 bit
self-information
Surprise · NO−log₂(1−p)
0.43 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0088 nat (0.0127 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 0.320 · CI [0.21, 0.44] · κ 59.4
Posterior meanE[θ]
0.320
Beta(19.0, 40.4)
95% credible intervalHDI
[0.21, 0.44]
price INSIDE → weak edge
Concentrationκ
59.4
pseudo-obs behind belief
Disagreementvs crowd
+6.0 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] +15.4% · P(YES) 30.0% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+15.38%
P(YES) empiricalq
30.0%
Best pathmax
+284.6%
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 0.63% · ruin rate 8.3%400 paths × 120 bets · f deploy 4.02%
Sharpe / betμ/σ
0.130
μ 0.94% · σ 7.2%
Sortino / betμ/σ↓
0.233
downside-only denominator
VaR 95%5%
-4.0%
per-bet worst-case
CVaR 95%ES
-4.0%
mean tail loss
Max drawdownMDD
-11.6%
Calmar 0.05
Ruin rate≤50%
8.3%
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 -8.2pp · crowd gap -14.2pp
Anchor gapmodel − base
-8.2 pp
Crowd gapprice − base
-14.2 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 23.8% · AUC 0.786out-of-sample BSS (5-fold) 24.0% ± 1.2% · Brier 0.1904 · log-loss 0.5703 · n 1600✓ n = 1600
BrierBS
0.1904
lower = better · ō 0.51
BSSvs base
23.8%
improvement over base rate
ReliabilityREL
0.0025
miscalibration · want ↓
ResolutionRES
0.0615
decisiveness · want ↑
Log lossLL
0.5703
cross-entropy
AUCROC
0.786
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 0.97 · expectancy -0.016R180 trades · win 47.8% · Sharpe -0.014
Total P/Lnet
-$714
on $45,000 cycled
Win ratehit %
47.8%
86 W / 94 L
Profit factorPF
0.97
$ won / $ lost
Expectancyper trade
-$3.97
avg $ per position
R-expectancyper risk
-0.016R
in units of risk taken
Avg win / losspayoff
$264.96 / -$250.00
ratio 1.06 : 1
Sharpe / traderisk-adj
-0.014
μR / σR
Closing line valueCLV
+3.19 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.