NOSTRADAMUS · Position Analytics Engine
SIMULATOR Morocco
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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/hl-pred-morocco-199 page.
▲ YES EDGE · +0.055 · f★ 5.6% · deploy 2.8% · net 4.74pp
§1 · Position economics
YES · Expected P/L per share +0.0549@ model P(YES) = 0.083
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 5.65% · g(f★) = 3.650%deploy 2.82% · g = 3.023%
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 @ 0.028 · EV +$1,376stake $706 · 2.82% of bankroll
Deployed stakestake
$706
2.82% of bankroll
Sharesunits
25,067
each pays $1 if YES
Max payoutwin
$25,067
gross, if win
Max profitwin
+$24,361
net of cost
Max losslose
-$706
binary settles to $0
Payout multiple×
×35.51
$1 → $35.51
Risk:RewardR:R
34.51 : 1
win $34.51 per $1
Expected P/LE[P/L]
+$1,376
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 8.3% | +$24,361 | +$2,023 |
| Resolves against (lose) | 91.7% | -$706 | -$647 |
| Expected value | 100.0% | — | +$1,376 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +5.5 pprelative edge +194.9%
Required win ratebreak-even
2.8%
price = implied probability
Model win rateP(win)
8.3%
what you forecast
Cushionedge
+5.5 pp
margin of safety
Fair pricemodel
0.083
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
2.8%
= price
Decimal oddsEU
35.511
total return per $1
AmericanUS
+3451
$100 wins $3451
FractionalUK
34.51 / 1
profit per $1 risked
Profit per $100stake
+$3451.14
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 3387% · APY 14559084185%ROI 194.9% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+194.9%
APR (simple)scaled
+3387%
ROI × 365/days
APY (compounded)if redeployed
+14559084185%
(1+ROI)^(365/d) − 1
Daily expectedper day
+5.28%
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 +4.74 pperosion 14% · break-even w/ fees 3.6%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,412
5.65% · g = 3.650%
Half Kelly½ f★
$706
2.82% · g = 3.023%
Quarter Kelly¼ f★
$353
1.41% · g = 1.992%
Flat 1%1%
$250
1.00% · g = 1.540%
Flat 2%2%
$500
2.00% · g = 2.506%
Flat 5%5%
$1,250
5.00% · g = 3.623%
Recommended¼ f★
$353
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.185 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.413 bit
Δ +0.228 bit vs market
Surprise · YES−log₂ p
5.15 bit
self-information
Surprise · NO−log₂(1−p)
0.04 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
SIGNAL · D_KL(q ‖ p) = 0.0365 nat (0.0527 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 0.083 · CI [0.01, 0.23] · κ 20.2
Posterior meanE[θ]
0.083
Beta(1.7, 18.5)
95% credible intervalHDI
[0.01, 0.23]
price INSIDE → weak edge
Concentrationκ
20.2
pseudo-obs behind belief
Disagreementvs crowd
+5.5 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] +228.5% · P(YES) 9.3% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+228.48%
P(YES) empiricalq
9.3%
Best pathmax
+3451.1%
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 3.09% · ruin rate 12.0%400 paths × 120 bets · f deploy 2.82%
Sharpe / betμ/σ
0.210
μ 5.95% · σ 28.3%
Sortino / betμ/σ↓
2.107
downside-only denominator
VaR 95%5%
-2.8%
per-bet worst-case
CVaR 95%ES
-2.8%
mean tail loss
Max drawdownMDD
-29.1%
Calmar 0.11
Ruin rate≤50%
12.0%
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 -40.9pp · crowd gap -46.4pp
Anchor gapmodel − base
-40.9 pp
Crowd gapprice − base
-46.4 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 19.8% · AUC 0.765out-of-sample BSS (5-fold) 19.8% ± 1.3% · Brier 0.2005 · log-loss 0.6047 · n 1600✓ n = 1600
BrierBS
0.2005
lower = better · ō 0.51
BSSvs base
19.8%
improvement over base rate
ReliabilityREL
0.0044
miscalibration · want ↓
ResolutionRES
0.0525
decisiveness · want ↑
Log lossLL
0.6047
cross-entropy
AUCROC
0.765
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 1.07 · expectancy +0.036R180 trades · win 51.1% · Sharpe 0.028
Total P/Lnet
+$1,620
on $45,000 cycled
Win ratehit %
51.1%
92 W / 88 L
Profit factorPF
1.07
$ won / $ lost
Expectancyper trade
+$9.00
avg $ per position
R-expectancyper risk
+0.036R
in units of risk taken
Avg win / losspayoff
$256.73 / -$250.00
ratio 1.03 : 1
Sharpe / traderisk-adj
0.028
μR / σR
Closing line valueCLV
+3.28 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.