NOSTRADAMUS · Position Analytics Engine

SIMULATOR Will Sahith Theegala win the RBC Canadian Open?

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/kalshi-kxpgatour-rbbcan26-sthe page.

▲ YES EDGE · +0.006 · f★ 0.6% · deploy 0.3% · net -0.15pp

§1 · Position economics

Payoff diagram · binary contract P/L vs resolution
YES · Expected P/L per share +0.0060@ model P(YES) = 0.020
-1.00-0.50+0.00+0.50+1.000.000.200.400.600.801.00price 0.014model 0.020YES resolution priceP/L per $1 contract
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
Kelly growth curve · g(f) with f★ and deployed f markers
f★ = 0.61% · g(f★) = 0.115%deploy 0.30% · g = 0.090%
-2.34%-1.72%-1.11%-0.49%0.13%0%8%16%24%32%40%f★ optimumdeployfraction of bankroll fexpected log-growth g(f)
g(f)f★ optimumdeployed fgrowth zone
Underbet leaves growth on the table; overbet destroys capital. The interior maximum is f★.

§2 · The trade ticket

Trade ticket · dollar outcomes at this stake
YES @ 0.014 · EV +$33stake $76 · 0.30% of bankroll
Deployed stakestake
$76
0.30% of bankroll
Sharesunits
5,433
each pays $1 if YES
Max payoutwin
$5,433
gross, if win
Max profitwin
+$5,357
net of cost
Max losslose
-$76
binary settles to $0
Payout multiple×
×71.43
$1 → $71.43
Risk:RewardR:R
70.43 : 1
win $70.43 per $1
Expected P/LE[P/L]
+$33
probability-weighted
OutcomeP(model)P/LContribution
Resolves YES (win)2.0%+$5,357+$107
Resolves against (lose)98.0%-$76-$75
Expected value100.0%+$33
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.

§3 · Break-even & cushion

Break-even & cushion · margin of safety
Cushion +0.6 pprelative edge +42.9%
Required win ratebreak-even
1.4%
price = implied probability
Model win rateP(win)
2.0%
what you forecast
Cushionedge
+0.6 pp
margin of safety
Fair pricemodel
0.020
where you think it should trade
-60-3003060020406080100you @ 1.4%market price (%)cushion (pp)
The market price equals the win rate you must beat to make money.

§4 · Odds conversion

Implied probability, decimal, American, fractional
Implied probabilityP
1.4%
= price
Decimal oddsEU
71.429
total return per $1
AmericanUS
+7043
$100 wins $7043
FractionalUK
70.43 / 1
profit per $1 risked
Profit per $100stake
+$7042.86
clean dollar framing
-1000-5000+500+1000020406080100you · 1.4%implied probability (%)American odds
underdog (+)favorite (-)your price
Five views of the same number.

§4b · Time & annualized return

Time & APR · capital lockup vs annualized return
APR 745% · APY 49143%ROI 42.9% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+42.9%
APR (simple)scaled
+745%
ROI × 365/days
APY (compounded)if redeployed
+49143%
(1+ROI)^(365/d) − 1
Daily expectedper day
+1.71%
geometric, per day held
Capital turns/yrvelocity
×17.4
how often this slot recycles
0%10811%21623%32434%43246%54057%121416180100120now 21ddays to resolutionannualized return (capped 1000%)
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

Cost waterfall · gross edge → net of friction
Net edge -0.15 pperosion 125% · break-even w/ fees 2.1%
-0.3pp-0.1pp0.2pp0.4pp0.6pp0.9pp+0.60Gross edge-0.75- ½ spread+0.00- entry fee+0.00- exit fee-0.15Net edgeEV / share (pp)
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.

§6 · Sizing menu

Sizing menu · disciplined deployment
Full Kellyf★
$152
0.61% · g = 0.115%
Half Kelly½ f★
$76
0.30% · g = 0.090%
Quarter Kelly¼ f★
$38
0.15% · g = 0.054%
Flat 1%1%
$250
1.00% · g = 0.081%
Flat 2%2%
$500
2.00% · g = -0.222%
Flat 5%5%
$1,250
5.00% · g = -2.009%
Recommended¼ f★
$38
survives model error
$0$369$738$1,106$1,475$152Full Kelly0.61%$76Half Kelly0.30%$38Quarter Kelly0.15%$250Flat 1%1.00%$500Flat 2%2.00%$1,250Flat 5%5.00%
Quarter-Kelly is the industry default — survives model error far better than full Kelly.

§7 · Information theory

Binary entropy · uncertainty in bits
Market entropyH(p)
0.106 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.141 bit
Δ +0.035 bit vs market
Surprise · YES−log₂ p
6.16 bit
self-information
Surprise · NO−log₂(1−p)
0.02 bit
self-information
0.000.260.530.791.050.00.20.40.60.81.0marketmodelprobabilityH (bits)
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
KL divergence · upper bound on exploitable edge
NOISE · D_KL(q ‖ p) = 0.0012 nat (0.0017 bit)belief ≈ market — stand down
-0.008-0.0040.0010.0050.0090.0071YES branch-0.0060NO branchΣKL = 0.0012 natKL contribution (nat)
YES contributionNO contributionbelief ‖ marketnoise
Zero KL ⇒ you know nothing the crowd doesn't.

§8 · Bayesian inference

Bayesian posterior · prior + evidence → belief with 95% CI
MARKET PRICE INSIDE 95% CIposterior μ 0.020 · CI [0.00, 0.30] · κ 4.4
Posterior meanE[θ]
0.020
Beta(0.1, 4.4)
95% credible intervalHDI
[0.00, 0.30]
price INSIDE → weak edge
Concentrationκ
4.4
pseudo-obs behind belief
Disagreementvs crowd
+0.0 pp
posterior − price
0.000.200.400.600.801.00marketposterior μprobability θposterior density
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)

Mark-to-market MC · single position held to resolution
E[P/L] +25.0% · P(YES) 1.8% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+25.00%
P(YES) empiricalq
1.8%
Best pathmax
+7042.9%
Worst pathmin
-100.0%
VaR 95%5%
100.0%
CVaR 95%ES
100.0%
25¢50¢75¢100¢084168252336420504entry 1.4¢model q 2.0¢bars until resolutionprice path
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)

Monte-Carlo equity fan · this profile, repeated 400× independently
Median CAGR/bet 0.52% · ruin rate 0.0%400 paths × 120 bets · f deploy 0.50%
Sharpe / betμ/σ
0.128
μ 0.88% · σ 6.9%
Sortino / betμ/σ↓
1.756
downside-only denominator
VaR 95%5%
-0.5%
per-bet worst-case
CVaR 95%ES
-0.5%
mean tail loss
Max drawdownMDD
-11.8%
Calmar 0.04
Ruin rate≤50%
0.0%
P(equity ever ≤ 50%)
0.69×1.97×3.24×4.52×5.79×7.07×020406080100120startruin 50%bet #bankroll multiple
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

Probability stack · base rate vs crowd vs model
ANCHORED · supported by convictionanchor gap -48.5pp · crowd gap -49.1pp
0%20%40%60%80%100%Reference base rate50.5%Market price1.4%Model P(YES)2.0%
Anchor gapmodel − base
-48.5 pp
Crowd gapprice − base
-49.1 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.

§11 · Forecast quality (synthetic ledger)

Brier · Murphy decomposition · reliability · ROC
SKILL POSITIVE · in-sample BSS 18.9% · AUC 0.761out-of-sample BSS (5-fold) 19.0% ± 2.4% · Brier 0.2029 · log-loss 0.6051 · n 1600n = 1600
BrierBS
0.2029
lower = better · ō 0.50
BSSvs base
18.9%
improvement over base rate
ReliabilityREL
0.0044
miscalibration · want ↓
ResolutionRES
0.0518
decisiveness · want ↑
Log lossLL
0.6051
cross-entropy
AUCROC
0.761
0.5 coin · 1.0 oracle
0.00.20.40.60.81.00.00.20.40.60.81.0stated probability fobserved frequency ō0.00.20.40.60.81.00.00.20.40.60.81.0AUC = 0.761false positive ratetrue positive rate0.0000.0750.1500.2250.3000.250UNC0.052RES0.004REL0.203BRIERcontribution
calibration curveROCUNC (irreducible)RES (skill, ↑)REL (miscalib, ↓)
Computed on a seeded synthetic forecast ledger. Reseed (⟳) to redraw.

§12 · Journal vitals (synthetic ledger)

Track record · win rate · PF · expectancy · CLV · equity curve
PROFITABLE · PF 1.00 · expectancy +0.002R180 trades · win 47.8% · Sharpe 0.002
Total P/Lnet
+$89
on $45,000 cycled
Win ratehit %
47.8%
86 W / 94 L
Profit factorPF
1.00
$ won / $ lost
Expectancyper trade
+$0.50
avg $ per position
R-expectancyper risk
+0.002R
in units of risk taken
Avg win / losspayoff
$274.29 / -$250.00
ratio 1.10 : 1
Sharpe / traderisk-adj
0.002
μR / σR
Closing line valueCLV
+2.25 pp
avg edge vs close
-$2,095-$424$1,246$2,916$4,58603672108144180trade #cumulative P/L (USD)
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.

▸ Advanced metrics · M2M bundle

kalshi · kxpgatour-rbbcan26-sthe · fresh · feed 5s old
24h sparkline · 60 pts
realized vol (ann.)
42.98%
max drawdown
37.50%
sharpe
ulcer index
16.37%
RMS drawdown
pain index
14.34%
mean drawdown
mod. VaR 95%
0.11%
Cornish-Fisher
martin ratio
ret / ulcer
CDaR 95%
29.87%
cond. drawdown
gain/pain
1.07
Σgain / Σ|loss|
sterling
ret / CDaR
omega (θ=0)
1.07
upside/downside
roll spread
344.4 bps
implied (price-only)
bars used
687
store
spread
1666.7 bps
24h Δ
flow lean
carry
flat
signalNEUTRALconfidence 20%
Same bundle via M2M API: /api/m2m/kalshi-kxpgatour-rbbcan26-sthe/bundle · venue execution: kalshi