NOSTRADAMUS · Position Analytics Engine
SIMULATOR Will Amazon be the largest company in the world by market cap on December 31?
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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-will-amazon-be-the-largest-company-in-the-world-by-market-cap-on-december-31-376 page.
▲ YES EDGE · +0.047 · f★ 4.7% · deploy 2.4% · net 3.90pp
§1 · Position economics
YES · Expected P/L per share +0.0465@ model P(YES) = 0.057
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 4.70% · g(f★) = 5.106%deploy 2.35% · g = 4.415%
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 @ 0.011 · EV +$2,603stake $588 · 2.35% of bankroll
Deployed stakestake
$588
2.35% of bankroll
Sharesunits
55,962
each pays $1 if YES
Max payoutwin
$55,962
gross, if win
Max profitwin
+$55,374
net of cost
Max losslose
-$588
binary settles to $0
Payout multiple×
×95.24
$1 → $95.24
Risk:RewardR:R
94.24 : 1
win $94.24 per $1
Expected P/LE[P/L]
+$2,603
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 5.7% | +$55,374 | +$3,157 |
| Resolves against (lose) | 94.3% | -$588 | -$554 |
| Expected value | 100.0% | — | +$2,603 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +4.7 pprelative edge +443.0%
Required win ratebreak-even
1.1%
price = implied probability
Model win rateP(win)
5.7%
what you forecast
Cushionedge
+4.7 pp
margin of safety
Fair pricemodel
0.057
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
1.1%
= price
Decimal oddsEU
95.238
total return per $1
AmericanUS
+9424
$100 wins $9424
FractionalUK
94.24 / 1
profit per $1 risked
Profit per $100stake
+$9423.81
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 7700% · APY 590820507034348%ROI 443.0% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+443.0%
APR (simple)scaled
+7700%
ROI × 365/days
APY (compounded)if redeployed
+590820507034348%
(1+ROI)^(365/d) − 1
Daily expectedper day
+8.39%
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 +3.90 pperosion 16% · break-even w/ fees 1.8%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,175
4.70% · g = 5.106%
Half Kelly½ f★
$588
2.35% · g = 4.415%
Quarter Kelly¼ f★
$294
1.18% · g = 3.136%
Flat 1%1%
$250
1.00% · g = 2.838%
Flat 2%2%
$500
2.00% · g = 4.135%
Flat 5%5%
$1,250
5.00% · g = 5.098%
Recommended¼ f★
$294
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.084 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.315 bit
Δ +0.231 bit vs market
Surprise · YES−log₂ p
6.57 bit
self-information
Surprise · NO−log₂(1−p)
0.02 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
SIGNAL · D_KL(q ‖ p) = 0.0511 nat (0.0737 bit)exploitable edge present
YES contributionNO contributionbelief ‖ marketsignal
Zero KL ⇒ you know nothing the crowd doesn't.
§8 · Bayesian inference
MARKET PRICE INSIDE 95% CIposterior μ 0.057 · CI [0.00, 0.22] · κ 13.9
Posterior meanE[θ]
0.057
Beta(0.8, 13.1)
95% credible intervalHDI
[0.00, 0.22]
price INSIDE → weak edge
Concentrationκ
13.9
pseudo-obs behind belief
Disagreementvs crowd
+3.7 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] +471.4% · P(YES) 6.0% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+471.43%
P(YES) empiricalq
6.0%
Best pathmax
+9423.8%
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 5.72% · ruin rate 15.3%400 paths × 120 bets · f deploy 2.35%
Sharpe / betμ/σ
0.219
μ 11.99% · σ 54.8%
Sortino / betμ/σ↓
5.103
downside-only denominator
VaR 95%5%
-2.4%
per-bet worst-case
CVaR 95%ES
-2.4%
mean tail loss
Max drawdownMDD
-30.0%
Calmar 0.19
Ruin rate≤50%
15.3%
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 -40.0pp · crowd gap -44.6pp
Anchor gapmodel − base
-40.0 pp
Crowd gapprice − base
-44.6 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 15.4% · AUC 0.743out-of-sample BSS (5-fold) 15.4% ± 1.8% · Brier 0.2113 · log-loss 0.6215 · n 1600✓ n = 1600
BrierBS
0.2113
lower = better · ō 0.51
BSSvs base
15.4%
improvement over base rate
ReliabilityREL
0.0078
miscalibration · want ↓
ResolutionRES
0.0453
decisiveness · want ↑
Log lossLL
0.6215
cross-entropy
AUCROC
0.743
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 1.32 · expectancy +0.142R180 trades · win 55.0% · Sharpe 0.103
Total P/Lnet
+$6,400
on $45,000 cycled
Win ratehit %
55.0%
99 W / 81 L
Profit factorPF
1.32
$ won / $ lost
Expectancyper trade
+$35.55
avg $ per position
R-expectancyper risk
+0.142R
in units of risk taken
Avg win / losspayoff
$269.19 / -$250.00
ratio 1.08 : 1
Sharpe / traderisk-adj
0.103
μR / σR
Closing line valueCLV
+3.65 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.