OPEN-SOURCE SCRIPT
Zaktualizowano Triple Barrier Exit with Meta Labeling
Overview
Most tools tell you when to enter. This one frames how a trade would be managed — and then keeps an honest record of how that framing actually resolved. It takes a primary entry signal (its own built-in breakout, or any external signal series you point it at), draws a volatility-scaled profit barrier, stop barrier and time barrier around it, watches which is touched first, and feeds every resolved outcome into a live track record. On top sits a meta-label gate: a small online model that learns, from those resolved outcomes, whether to take or skip the next signal.
It is a research and trade-framing study — not a strategy, not a signal service, and not a validated edge.
Why these parts are ONE tool (mashup rationale)
Each layer exists because the one before it leaves a question open:
The triple barrier. A raw entry signal has no definition of success. Profit / stop / time barriers, scaled by current volatility (ATR or an EWMA of returns), turn a signal into a labelled outcome: profit-hit, stop-hit, or timed-out. Widths are regime-asymmetric — the profit barrier widens in trend and tightens in chop — because a fixed frame misprices the same signal in different conditions.
The trend-scanning vertical. A fixed holding time is arbitrary. The time barrier is instead chosen from candidate horizons by the strongest |t-value| of a linear fit — the horizon over which price is actually trending most decisively.
The meta-label gate. Knowing outcomes isn't the same as acting on them. A small online logistic model, trained only on resolved outcomes, scores each new signal and says TAKE or SKIP. It stays disabled until enough trades have resolved, so it never acts on an untrained model.
The honesty layer. Overlapping trades are not independent samples — so wins are recency-decayed and reported with a Wilson 95% lower bound per regime, alongside a reliability table and a Brier score for the meta-gate itself. If the gate isn't calibrated, the panel says so.
Remove any layer and the tool either mislabels the trade, mistimes it, acts on an untested model, or reports a win-rate it hasn't earned.
How it works
A primary signal fires. If the meta-gate passes, the trade is framed: profit = entry ± (PT × regime multiplier × σ), stop = entry ∓ (SL × regime multiplier × σ), and a vertical barrier holdH bars ahead. The frame is drawn as a forward box that recolours green / red / grey on first touch. Same-bar ties resolve stop-first (the conservative assumption). MFE and MAE are tracked live on the open trade. On resolution, the outcome trains the meta-model and updates the per-regime statistics.
How to use it
Read the panel before you trust the frame.
Meta gate — whether the model would take or skip the current signal (stays "warming" until it has enough resolved samples).
Wilson 95% lower — the honest floor of the win-rate in the current regime. If it isn't above 50%, this framing has not demonstrated an edge here.
Meta Brier — below ~0.25 means the gate's probabilities are reasonably calibrated; above it, ignore the gate.
The most useful thing you can do with it: point it at your own entry signal via the external-source input, and see how your signal resolves under a disciplined exit frame. The suggested size is advisory arithmetic (risk ÷ stop distance), not a recommendation. Only one trade is managed at a time — this is a study of the framing, not a portfolio simulator. The dashboard has a Compact layout (default) and a Pro layout (adds the scanned horizon, Brier, reliability tiers, PT/SL/timeout counts, live MFE/MAE and suggested size).
Universal across markets
Entry source, σ source, barrier widths and horizons are all inputs, so it runs on any symbol and timeframe. It needs no volume. Defaults target intraday index futures.
Non-repainting
Entries are taken and outcomes resolved only on confirmed bars, and the meta-model is trained only on resolved outcomes — so no statistic reads its own future and nothing inflates intrabar. The live "next-trade frame" preview is a forward projection at the current bar only, by design.
Originality
The triple barrier, meta-labelling and trend-scanning are published research concepts, credited below. What's assembled here is the specific synthesis: the triple barrier used as a live exit/management frame rather than an offline training pipeline, regime-asymmetric barrier widths, an online meta-gate that trains itself on the chart in front of you, and an honesty panel that reports the Wilson lower bound, the reliability tiers and the gate's own Brier score. Clean-room implementation; no third-party code reused.
Concept credits
Triple-barrier labelling, meta-labelling, trend-scanning, and sample uniqueness / time-decay for non-IID overlapping outcomes — Marcos López de Prado (Advances in Financial Machine Learning). Here the triple barrier is used as an exit/management frame and a labelling substrate, not as a training pipeline.
Wilson score confidence interval — Edwin B. Wilson · Brier score — Glenn W. Brier
Average True Range — J. Welles Wilder · Efficiency Ratio — Perry Kaufman
Inverse-volatility position sizing — standard risk-management practice
Honest limits
Overlapping trades are not independent, which is exactly why wins are decayed and reported with a Wilson lower bound rather than a raw percentage — treat the win-rate as descriptive, not a probability of future results. The meta-model is a small online logistic fit on three features; it can be miscalibrated, which is why its Brier score is shown. All figures are in-sample, with no costs, slippage or spread. Nothing here predicts price.
Disclaimer
Research and educational tool only. Not financial advice, not a recommendation, and no guarantee of results. The position-size output is arithmetic, not advice. Trading carries risk of loss. Test out-of-sample and make your own decisions. The author accepts no liability for any use.
Most tools tell you when to enter. This one frames how a trade would be managed — and then keeps an honest record of how that framing actually resolved. It takes a primary entry signal (its own built-in breakout, or any external signal series you point it at), draws a volatility-scaled profit barrier, stop barrier and time barrier around it, watches which is touched first, and feeds every resolved outcome into a live track record. On top sits a meta-label gate: a small online model that learns, from those resolved outcomes, whether to take or skip the next signal.
It is a research and trade-framing study — not a strategy, not a signal service, and not a validated edge.
Why these parts are ONE tool (mashup rationale)
Each layer exists because the one before it leaves a question open:
The triple barrier. A raw entry signal has no definition of success. Profit / stop / time barriers, scaled by current volatility (ATR or an EWMA of returns), turn a signal into a labelled outcome: profit-hit, stop-hit, or timed-out. Widths are regime-asymmetric — the profit barrier widens in trend and tightens in chop — because a fixed frame misprices the same signal in different conditions.
The trend-scanning vertical. A fixed holding time is arbitrary. The time barrier is instead chosen from candidate horizons by the strongest |t-value| of a linear fit — the horizon over which price is actually trending most decisively.
The meta-label gate. Knowing outcomes isn't the same as acting on them. A small online logistic model, trained only on resolved outcomes, scores each new signal and says TAKE or SKIP. It stays disabled until enough trades have resolved, so it never acts on an untrained model.
The honesty layer. Overlapping trades are not independent samples — so wins are recency-decayed and reported with a Wilson 95% lower bound per regime, alongside a reliability table and a Brier score for the meta-gate itself. If the gate isn't calibrated, the panel says so.
Remove any layer and the tool either mislabels the trade, mistimes it, acts on an untested model, or reports a win-rate it hasn't earned.
How it works
A primary signal fires. If the meta-gate passes, the trade is framed: profit = entry ± (PT × regime multiplier × σ), stop = entry ∓ (SL × regime multiplier × σ), and a vertical barrier holdH bars ahead. The frame is drawn as a forward box that recolours green / red / grey on first touch. Same-bar ties resolve stop-first (the conservative assumption). MFE and MAE are tracked live on the open trade. On resolution, the outcome trains the meta-model and updates the per-regime statistics.
How to use it
Read the panel before you trust the frame.
Meta gate — whether the model would take or skip the current signal (stays "warming" until it has enough resolved samples).
Wilson 95% lower — the honest floor of the win-rate in the current regime. If it isn't above 50%, this framing has not demonstrated an edge here.
Meta Brier — below ~0.25 means the gate's probabilities are reasonably calibrated; above it, ignore the gate.
The most useful thing you can do with it: point it at your own entry signal via the external-source input, and see how your signal resolves under a disciplined exit frame. The suggested size is advisory arithmetic (risk ÷ stop distance), not a recommendation. Only one trade is managed at a time — this is a study of the framing, not a portfolio simulator. The dashboard has a Compact layout (default) and a Pro layout (adds the scanned horizon, Brier, reliability tiers, PT/SL/timeout counts, live MFE/MAE and suggested size).
Universal across markets
Entry source, σ source, barrier widths and horizons are all inputs, so it runs on any symbol and timeframe. It needs no volume. Defaults target intraday index futures.
Non-repainting
Entries are taken and outcomes resolved only on confirmed bars, and the meta-model is trained only on resolved outcomes — so no statistic reads its own future and nothing inflates intrabar. The live "next-trade frame" preview is a forward projection at the current bar only, by design.
Originality
The triple barrier, meta-labelling and trend-scanning are published research concepts, credited below. What's assembled here is the specific synthesis: the triple barrier used as a live exit/management frame rather than an offline training pipeline, regime-asymmetric barrier widths, an online meta-gate that trains itself on the chart in front of you, and an honesty panel that reports the Wilson lower bound, the reliability tiers and the gate's own Brier score. Clean-room implementation; no third-party code reused.
Concept credits
Triple-barrier labelling, meta-labelling, trend-scanning, and sample uniqueness / time-decay for non-IID overlapping outcomes — Marcos López de Prado (Advances in Financial Machine Learning). Here the triple barrier is used as an exit/management frame and a labelling substrate, not as a training pipeline.
Wilson score confidence interval — Edwin B. Wilson · Brier score — Glenn W. Brier
Average True Range — J. Welles Wilder · Efficiency Ratio — Perry Kaufman
Inverse-volatility position sizing — standard risk-management practice
Honest limits
Overlapping trades are not independent, which is exactly why wins are decayed and reported with a Wilson lower bound rather than a raw percentage — treat the win-rate as descriptive, not a probability of future results. The meta-model is a small online logistic fit on three features; it can be miscalibrated, which is why its Brier score is shown. All figures are in-sample, with no costs, slippage or spread. Nothing here predicts price.
Disclaimer
Research and educational tool only. Not financial advice, not a recommendation, and no guarantee of results. The position-size output is arithmetic, not advice. Trading carries risk of loss. Test out-of-sample and make your own decisions. The author accepts no liability for any use.
Informacje o Wersji
Minor updateInformacje o Wersji
v1.1 — Cost model (no engine change)- Added a cost model: this tool already resolves each trade to a realised R (profit = +reward:risk,
stop = −1R, timeout = marked-to-market), so a new "Round-trip cost (R)" input now yields a
recency-decayed R-EXPECTANCY and a "Net R (after cost)" panel row (ExpR → NetR). Net R > 0 = the
exit framing is profitable after costs. Exported as EXP_ExpR / EXP_NetR.
- The panel now shows two honesty lenses: the win-rate (with Wilson floor) for "how often the profit
barrier wins", and Net R for "what the framing nets per trade after costs" — they can disagree, and
seeing both is the point.
- No change to the entries, barriers, trend-scan horizon, meta-gate or win-rate statistics — everyday
behaviour is identical.
Research / trade-framing study, in-sample R-expectancy, not investment advice.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.