NOSTRADAMUS · Position Analytics Engine
SIMULATOR Will Rory McIlroy win the U.S. Open?
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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/kalshi-kxpgatour-uso26-rmci page.
▲ YES EDGE · +0.014 · f★ 1.5% · deploy 0.7% · net 0.63pp
§1 · Position economics
YES · Expected P/L per share +0.0138@ model P(YES) = 0.095
P/L per sharemarket pricemodel Pprofit zoneloss zone
Profit is linear in the eventual settlement price.
f★ = 1.50% · g(f★) = 0.121%deploy 0.75% · g = 0.093%
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 @ 0.081 · EV +$32stake $187 · 0.75% of bankroll
Deployed stakestake
$187
0.75% of bankroll
Sharesunits
2,314
each pays $1 if YES
Max payoutwin
$2,314
gross, if win
Max profitwin
+$2,127
net of cost
Max losslose
-$187
binary settles to $0
Payout multiple×
×12.35
$1 → $12.35
Risk:RewardR:R
11.35 : 1
win $11.35 per $1
Expected P/LE[P/L]
+$32
probability-weighted
| Outcome | P(model) | P/L | Contribution |
|---|---|---|---|
| Resolves YES (win) | 9.5% | +$2,127 | +$202 |
| Resolves against (lose) | 90.5% | -$187 | -$170 |
| Expected value | 100.0% | — | +$32 |
What you actually win and lose. The bottom table tabulates probability-weighted P/L by outcome.
§3 · Break-even & cushion
Cushion +1.4 pprelative edge +17.0%
Required win ratebreak-even
8.1%
price = implied probability
Model win rateP(win)
9.5%
what you forecast
Cushionedge
+1.4 pp
margin of safety
Fair pricemodel
0.095
where you think it should trade
The market price equals the win rate you must beat to make money.
§4 · Odds conversion
Implied probabilityP
8.1%
= price
Decimal oddsEU
12.346
total return per $1
AmericanUS
+1135
$100 wins $1135
FractionalUK
11.35 / 1
profit per $1 risked
Profit per $100stake
+$1134.57
clean dollar framing
underdog (+)favorite (-)your price
Five views of the same number.
§4b · Time & annualized return
APR 296% · APY 1434%ROI 17.0% over 21d · 17.4 turns/yr
Time to resolvehorizon
21.0 d
504h capital lockup
Raw ROIper resolve
+17.0%
APR (simple)scaled
+296%
ROI × 365/days
APY (compounded)if redeployed
+1434%
(1+ROI)^(365/d) − 1
Daily expectedper day
+0.75%
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 +0.63 pperosion 54% · break-even w/ fees 8.8%
gross edgefrictionnet edgefee 0 bps · spread 1.50¢
The number that decides whether to trade.
§6 · Sizing menu
Full Kellyf★
$375
1.50% · g = 0.121%
Half Kelly½ f★
$187
0.75% · g = 0.093%
Quarter Kelly¼ f★
$94
0.37% · g = 0.055%
Flat 1%1%
$250
1.00% · g = 0.109%
Flat 2%2%
$500
2.00% · g = 0.109%
Flat 5%5%
$1,250
5.00% · g = -0.384%
Recommended¼ f★
$94
survives model error
Quarter-Kelly is the industry default — survives model error far better than full Kelly.
§7 · Information theory
Market entropyH(p)
0.406 bit
max 1.0 at p = 0.5
Your entropyH(q)
0.452 bit
Δ +0.047 bit vs market
Surprise · YES−log₂ p
3.63 bit
self-information
Surprise · NO−log₂(1−p)
0.12 bit
self-information
H(p) peaks at p = 0.5 (one bit of irreducible doubt).
NOISE · D_KL(q ‖ p) = 0.0012 nat (0.0018 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 0.095 · CI [0.01, 0.24] · κ 22.8
Posterior meanE[θ]
0.095
Beta(2.2, 20.7)
95% credible intervalHDI
[0.01, 0.24]
price INSIDE → weak edge
Concentrationκ
22.8
pseudo-obs behind belief
Disagreementvs crowd
+1.4 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] +66.7% · P(YES) 13.5% · VaR₉₅ 100.0%400 paths · 504 bars to resolution
Expected P/Lper $1
+66.67%
P(YES) empiricalq
13.5%
Best pathmax
+1134.6%
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 0.10% · ruin rate 0.0%400 paths × 120 bets · f deploy 0.75%
Sharpe / betμ/σ
0.051
μ 0.14% · σ 2.7%
Sortino / betμ/σ↓
0.185
downside-only denominator
VaR 95%5%
-0.7%
per-bet worst-case
CVaR 95%ES
-0.7%
mean tail loss
Max drawdownMDD
-7.9%
Calmar 0.01
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 -42.6pp · crowd gap -44.0pp
Anchor gapmodel − base
-42.6 pp
Crowd gapprice − base
-44.0 pp
Verdictdiscipline
ANCHORED
Reference-class anchoring prevents narrative-driven blowups.
§11 · Forecast quality (synthetic ledger)
SKILL POSITIVE · in-sample BSS 18.8% · AUC 0.761out-of-sample BSS (5-fold) 18.8% ± 1.7% · Brier 0.2029 · log-loss 0.6085 · n 1600✓ n = 1600
BrierBS
0.2029
lower = better · ō 0.49
BSSvs base
18.8%
improvement over base rate
ReliabilityREL
0.0049
miscalibration · want ↓
ResolutionRES
0.0513
decisiveness · want ↑
Log lossLL
0.6085
cross-entropy
AUCROC
0.761
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 0.89 · expectancy -0.054R180 trades · win 50.0% · Sharpe -0.052
Total P/Lnet
-$2,431
on $45,000 cycled
Win ratehit %
50.0%
90 W / 90 L
Profit factorPF
0.89
$ won / $ lost
Expectancyper trade
-$13.50
avg $ per position
R-expectancyper risk
-0.054R
in units of risk taken
Avg win / losspayoff
$222.99 / -$250.00
ratio 0.89 : 1
Sharpe / traderisk-adj
-0.052
μR / σR
Closing line valueCLV
+3.22 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.