NOSTRADAMUS · Position Analytics Engine
SIMULATOR Israel closes its airspace by June 14?
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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-14 page.
▲ YES EDGE · +0.060 · f★ 6.8% · deploy 3.4% · net 5.25pp
§1 · Position economics
YES · Expected P/L per share +0.0600@ model P(YES) = 0.179
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 6.81% · g(f★) = 1.517%deploy 3.41% · g = 1.180%
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 @ 0.119 · EV +$429stake $851 · 3.41% of bankroll
Deployed stakestake
$851
3.41% of bankroll
Sharesunits
7,154
each pays $1 if YES
Max payoutwin
$7,154
gross, if win
Max profitwin
+$6,303
net of cost
Max losslose
-$851
binary settles to $0
Payout multiple×
×8.40
$1 → $8.40
Risk:RewardR:R
7.40 : 1
win $7.40 per $1
Expected P/LE[P/L]
+$429
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 17.9% | +$6,303 | +$1,128 |
| Resolves against (lose) | 82.1% | -$851 | -$699 |
| Expected value | 100.0% | — | +$429 |
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 +50.4%
Required win ratebreak-even
11.9%
price = implied probability
Model win rateP(win)
17.9%
what you forecast
Cushionedge
+6.0 pp
margin of safety
Fair pricemodel
0.179
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
11.9%
= price
Decimal oddsEU
8.403
total return per $1
AmericanUS
+740
$100 wins $740
FractionalUK
7.40 / 1
profit per $1 risked
Profit per $100stake
+$740.34
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 876% · APY 120611%ROI 50.4% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+50.4%
APR (simple)scaled
+876%
ROI × 365/days
APY (compounded)if redeployed
+120611%
(1+ROI)^(365/d) − 1
Daily expectedper day
+1.96%
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 +5.25 pperosion 13% · break-even w/ fees 12.7%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$1,703
6.81% · g = 1.517%
Half Kelly½ f★
$851
3.41% · g = 1.180%
Quarter Kelly¼ f★
$426
1.70% · g = 0.715%
Flat 1%1%
$250
1.00% · g = 0.453%
Flat 2%2%
$500
2.00% · g = 0.813%
Flat 5%5%
$1,250
5.00% · g = 1.426%
Recommended¼ f★
$426
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.526 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.678 bit
Δ +0.151 bit vs market
Surprise · YES−log₂ p
3.07 bit
self-information
Surprise · NO−log₂(1−p)
0.18 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0152 nat (0.0219 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 0.179 · CI [0.08, 0.31] · κ 39.8
Posterior meanE[θ]
0.179
Beta(7.1, 32.7)
95% credible intervalHDI
[0.08, 0.31]
price INSIDE → weak edge
Concentrationκ
39.8
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] +45.0% · P(YES) 17.3% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+44.96%
P(YES) empiricalq
17.3%
Best pathmax
+740.3%
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 1.20% · ruin rate 11.8%400 paths × 120 bets · f deploy 3.41%
Sharpe / betμ/σ
0.160
μ 1.77% · σ 11.0%
Sortino / betμ/σ↓
0.519
downside-only denominator
VaR 95%5%
-3.4%
per-bet worst-case
CVaR 95%ES
-3.4%
mean tail loss
Max drawdownMDD
-18.8%
Calmar 0.06
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 -22.8pp · crowd gap -28.8pp
Anchor gapmodel − base
-22.8 pp
Crowd gapprice − base
-28.8 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 21.5% · AUC 0.775out-of-sample BSS (5-fold) 21.7% ± 1.3% · Brier 0.1962 · log-loss 0.5943 · n 1600✓ n = 1600
BrierBS
0.1962
lower = better · ō 0.49
BSSvs base
21.5%
improvement over base rate
ReliabilityREL
0.0040
miscalibration · want ↓
ResolutionRES
0.0565
decisiveness · want ↑
Log lossLL
0.5943
cross-entropy
AUCROC
0.775
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 1.19 · expectancy +0.086R180 trades · win 55.0% · Sharpe 0.079
Total P/Lnet
+$3,890
on $45,000 cycled
Win ratehit %
55.0%
99 W / 81 L
Profit factorPF
1.19
$ won / $ lost
Expectancyper trade
+$21.61
avg $ per position
R-expectancyper risk
+0.086R
in units of risk taken
Avg win / losspayoff
$243.84 / -$250.00
ratio 0.98 : 1
Sharpe / traderisk-adj
0.079
μR / σR
Closing line valueCLV
+3.06 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.