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
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
The AI Trading Ecosystem, Built to win trades 📈
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
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jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
The AI Trading Ecosystem, Built to win trades 📈
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.