NOSTRADAMUS · Position Analytics Engine
SIMULATOR Modena: Katarzyna Kawa vs Lucia Bronzetti
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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-wta-kawa-bronzet-2026-06-14 page.
▲ YES EDGE · +0.002 · f★ 0.4% · deploy 0.2% · net -0.52pp
§1 · Position economics
YES · Expected P/L per share +0.0023@ model P(YES) = 0.477
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 0.43% · g(f★) = 0.001%deploy 0.22% · g = 0.001%
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 @ 0.475 · EV +$0stake $54 · 0.22% of bankroll
Deployed stakestake
$54
0.22% of bankroll
Sharesunits
114
each pays $1 if YES
Max payoutwin
$114
gross, if win
Max profitwin
+$60
net of cost
Max losslose
-$54
binary settles to $0
Payout multiple×
×2.11
$1 → $2.11
Risk:RewardR:R
1.11 : 1
win $1.11 per $1
Expected P/LE[P/L]
+$0
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 47.7% | +$60 | +$29 |
| Resolves against (lose) | 52.3% | -$54 | -$28 |
| Expected value | 100.0% | — | +$0 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +0.2 pprelative edge +0.5%
Required win ratebreak-even
47.5%
price = implied probability
Model win rateP(win)
47.7%
what you forecast
Cushionedge
+0.2 pp
margin of safety
Fair pricemodel
0.477
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
47.5%
= price
Decimal oddsEU
2.105
total return per $1
AmericanUS
+111
$100 wins $111
FractionalUK
1.11 / 1
profit per $1 risked
Profit per $100stake
+$110.53
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 8% · APY 9%ROI 0.5% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+0.5%
APR (simple)scaled
+8%
ROI × 365/days
APY (compounded)if redeployed
+9%
(1+ROI)^(365/d) − 1
Daily expectedper day
+0.02%
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 -0.52 pperosion 330% · break-even w/ fees 48.3%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$108
0.43% · g = 0.001%
Half Kelly½ f★
$54
0.22% · g = 0.001%
Quarter Kelly¼ f★
$27
0.11% · g = 0.000%
Flat 1%1%
$250
1.00% · g = -0.001%
Flat 2%2%
$500
2.00% · g = -0.013%
Flat 5%5%
$1,250
5.00% · g = -0.114%
Recommended¼ f★
$27
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.998 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.999 bit
Δ +0.000 bit vs market
Surprise · YES−log₂ p
1.07 bit
self-information
Surprise · NO−log₂(1−p)
0.93 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0000 nat (0.0000 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 0.477 · CI [0.36, 0.60] · κ 68.3
Posterior meanE[θ]
0.477
Beta(32.6, 35.7)
95% credible intervalHDI
[0.36, 0.60]
price INSIDE → weak edge
Concentrationκ
68.3
pseudo-obs behind belief
Disagreementvs crowd
+0.2 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] -0.5% · P(YES) 47.3% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
-0.53%
P(YES) empiricalq
47.3%
Best pathmax
+110.5%
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 -0.00% · ruin rate 0.0%400 paths × 120 bets · f deploy 0.50%
Sharpe / betμ/σ
0.001
μ 0.00% · σ 0.5%
Sortino / betμ/σ↓
0.001
downside-only denominator
VaR 95%5%
-0.5%
per-bet worst-case
CVaR 95%ES
-0.5%
mean tail loss
Max drawdownMDD
-1.4%
Calmar -0.00
Ruin rate≤50%
0.0%
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 -9.7pp · crowd gap -9.9pp
Anchor gapmodel − base
-9.7 pp
Crowd gapprice − base
-9.9 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 20.2% · AUC 0.768out-of-sample BSS (5-fold) 20.2% ± 3.6% · Brier 0.1994 · log-loss 0.5950 · n 1600✓ n = 1600
BrierBS
0.1994
lower = better · ō 0.49
BSSvs base
20.2%
improvement over base rate
ReliabilityREL
0.0042
miscalibration · want ↓
ResolutionRES
0.0540
decisiveness · want ↑
Log lossLL
0.5950
cross-entropy
AUCROC
0.768
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 0.86 · expectancy -0.068R180 trades · win 50.6% · Sharpe -0.069
Total P/Lnet
-$3,054
on $45,000 cycled
Win ratehit %
50.6%
91 W / 89 L
Profit factorPF
0.86
$ won / $ lost
Expectancyper trade
-$16.96
avg $ per position
R-expectancyper risk
-0.068R
in units of risk taken
Avg win / losspayoff
$210.95 / -$250.00
ratio 0.84 : 1
Sharpe / traderisk-adj
-0.069
μR / σR
Closing line valueCLV
+2.76 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.