OPEN-SOURCE SCRIPT
Thorp Kelly Risk Engine [JOAT]
Thorp Kelly Risk Engine [JOAT]
Introduction
Thorp Kelly Risk Engine is a risk-quality study that tracks virtual outcomes, Kelly estimates, Bayesian shrinkage, drawdown pressure, survival score, and deployment state.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Virtual Outcome Tracker
Trend setups create virtual reward/risk outcomes measured in ATR units.
2. Kelly Estimate
Win rate and payoff ratio produce full and fractional Kelly-style estimates.
3. Bayesian Shrinkage
A prior win rate reduces overconfidence when sample size is small.
4. Survival and Desk Score
Drawdown, volatility, signal density, convexity, and uncertainty combine into risk state.
Pine Script®
Features
Input Parameters
How to Use This Script
Use TKR as risk context. Prime states suggest healthier virtual samples; defensive and lockdown states warn that model risk is elevated.
Limitations
Originality Statement
TKR is original in combining Kelly math, Bayesian shrinkage, drawdown throttling, survival scoring, and uncertainty cones.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
Introduction
Thorp Kelly Risk Engine is a risk-quality study that tracks virtual outcomes, Kelly estimates, Bayesian shrinkage, drawdown pressure, survival score, and deployment state.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Virtual Outcome Tracker
Trend setups create virtual reward/risk outcomes measured in ATR units.
2. Kelly Estimate
Win rate and payoff ratio produce full and fractional Kelly-style estimates.
3. Bayesian Shrinkage
A prior win rate reduces overconfidence when sample size is small.
4. Survival and Desk Score
Drawdown, volatility, signal density, convexity, and uncertainty combine into risk state.
Features
- Virtual outcome sampling
- Fractional and Bayesian Kelly estimates
- Drawdown throttle and volatility brake
- Ruin-adjusted Kelly
- Prime, defense, and lockdown states
Input Parameters
- Trend, RSI, and ATR lengths
- Reward and risk ATR
- Kelly fraction and max allocation
- Minimum sample and drawdown brake
- Display toggles and HUD position
How to Use This Script
Use TKR as risk context. Prime states suggest healthier virtual samples; defensive and lockdown states warn that model risk is elevated.
Limitations
- The script uses historical OHLCV data and cannot know future prices.
- Signals and states can be late during fast reversals because confirmed-bar logic is used to reduce repainting.
- Model outputs should be interpreted with market context, risk controls, and independent analysis.
- No visual state should be treated as a certain trade outcome.
Originality Statement
TKR is original in combining Kelly math, Bayesian shrinkage, drawdown throttling, survival scoring, and uncertainty cones.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
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免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
The AI Trading Ecosystem, Built to win trades 📈
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。