NOSTRADAMUS · Position Analytics Engine
SIMULATOR Colorado Rockies vs. Athletics
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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-mlb-col-oak-2026-06-14 page.
▲ YES EDGE · +0.009 · f★ 25.6% · deploy 12.8% · net 0.14pp
§1 · Position economics
YES · Expected P/L per share +0.0089@ model P(YES) = 0.974
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 25.56% · g(f★) = 0.130%deploy 12.78% · g = 0.094%
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 @ 0.965 · EV +$30stake $3,195 · 12.78% of bankroll
Deployed stakestake
$3,195
12.78% of bankroll
Sharesunits
3,311
each pays $1 if YES
Max payoutwin
$3,311
gross, if win
Max profitwin
+$116
net of cost
Max losslose
-$3,195
binary settles to $0
Payout multiple×
×1.04
$1 → $1.04
Risk:RewardR:R
0.04 : 1
win $0.04 per $1
Expected P/LE[P/L]
+$30
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 97.4% | +$116 | +$113 |
| Resolves against (lose) | 2.6% | -$3,195 | -$83 |
| Expected value | 100.0% | — | +$30 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +0.9 pprelative edge +0.9%
Required win ratebreak-even
96.5%
price = implied probability
Model win rateP(win)
97.4%
what you forecast
Cushionedge
+0.9 pp
margin of safety
Fair pricemodel
0.974
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
96.5%
= price
Decimal oddsEU
1.036
total return per $1
AmericanUS
-2757
risk $2757 to win $100
FractionalUK
0.04 / 1
profit per $1 risked
Profit per $100stake
+$3.63
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 16% · APY 17%ROI 0.9% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+0.9%
APR (simple)scaled
+16%
ROI × 365/days
APY (compounded)if redeployed
+17%
(1+ROI)^(365/d) − 1
Daily expectedper day
+0.04%
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 +0.14 pperosion 84% · break-even w/ fees 97.2%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$6,390
25.56% · g = 0.130%
Half Kelly½ f★
$3,195
12.78% · g = 0.094%
Quarter Kelly¼ f★
$1,597
6.39% · g = 0.053%
Flat 1%1%
$250
1.00% · g = 0.009%
Flat 2%2%
$500
2.00% · g = 0.018%
Flat 5%5%
$1,250
5.00% · g = 0.043%
Recommended¼ f★
$1,597
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.219 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.174 bit
Δ -0.045 bit vs market
Surprise · YES−log₂ p
0.05 bit
self-information
Surprise · NO−log₂(1−p)
4.84 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0013 nat (0.0019 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 0.974 · CI [0.75, 1.00] · κ 6.0
Posterior meanE[θ]
0.974
Beta(5.9, 0.2)
95% credible intervalHDI
[0.75, 1.00]
price INSIDE → weak edge
Concentrationκ
6.0
pseudo-obs behind belief
Disagreementvs crowd
+0.9 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] +1.6% · P(YES) 98.0% · VaR₉₅ -3.6%400 paths · 504 bars to resolution
Expected P/Lper $1
+1.55%
P(YES) empiricalq
98.0%
Best pathmax
+3.6%
Worst pathmin
-100.0%
VaR 95%5%
-3.6%
CVaR 95%ES
35.8%
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 -0.13% · ruin rate 11.8%400 paths × 120 bets · f deploy 12.78%
Sharpe / betμ/σ
-0.045
μ -0.12% · σ 2.7%
Sortino / betμ/σ↓
-0.010
downside-only denominator
VaR 95%5%
0.5%
per-bet worst-case
CVaR 95%ES
-0.1%
mean tail loss
Max drawdownMDD
-24.5%
Calmar -0.01
Ruin rate≤50%
11.8%
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 +40.4pp · crowd gap +39.5pp
Anchor gapmodel − base
+40.4 pp
Crowd gapprice − base
+39.5 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 22.2% · AUC 0.779out-of-sample BSS (5-fold) 22.3% ± 1.7% · Brier 0.1946 · log-loss 0.5824 · n 1600✓ n = 1600
BrierBS
0.1946
lower = better · ō 0.50
BSSvs base
22.2%
improvement over base rate
ReliabilityREL
0.0031
miscalibration · want ↓
ResolutionRES
0.0577
decisiveness · want ↑
Log lossLL
0.5824
cross-entropy
AUCROC
0.779
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 1.06 · expectancy +0.029R180 trades · win 52.2% · Sharpe 0.026
Total P/Lnet
+$1,296
on $45,000 cycled
Win ratehit %
52.2%
94 W / 86 L
Profit factorPF
1.06
$ won / $ lost
Expectancyper trade
+$7.20
avg $ per position
R-expectancyper risk
+0.029R
in units of risk taken
Avg win / losspayoff
$242.51 / -$250.00
ratio 0.97 : 1
Sharpe / traderisk-adj
0.026
μR / σR
Closing line valueCLV
+3.04 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.