OPEN-SOURCE SCRIPT
[SW Lab] Edge Analyzer
## What It Does
Most indicators tell you to buy or sell without evidence. The Edge Analyzer changes that by building a real-time statistical profile for every trading setup it detects -- showing you exactly how that setup has performed historically on this specific asset, timeframe, and market regime. When a setup triggers, you see hard numbers: win rate, profit factor, best and worst outcomes, and a Kelly-derived position size -- not opinions.
## How It Works
- Monitors four setup types simultaneously: RSI Oversold/Overbought, MA Crossover, Breakout (with volume confirmation), and Mean Reversion (Z-score based)
- Each time a setup triggers, the indicator records the bar, price, direction, and current market regime, then measures the forward return after a configurable evaluation window (default: 10 bars)
- Classifies the market into three regimes (Trending, Ranging, Volatile) using ATR ratio analysis and trend slope, allowing you to see whether a setup that works in one regime also works in another
- Computes both all-time and regime-filtered statistics, with automatic fallback to all-regime stats when the current regime has fewer than 5 samples
- Calculates Quarter-Kelly position sizing from the real win rate and reward-to-risk ratio, capped at 25% for safety
## Key Features
- **Four parallel setup detectors** running simultaneously with independent statistics
- **Stat card overlay** showing occurrences, win rate, average return, best/worst, profit factor, and Kelly sizing
- **Regime-conditional analysis** breaking performance into Trending, Ranging, and Volatile environments
- **Confidence rating**: HIGH (15+ regime samples), MEDIUM (5-14), or LOW (fewer than 5)
- **Best setup highlight**: when multiple setups fire on the same bar, the highest win rate setup is prioritized
- Signal arrows plotted directly on the chart for visual reference
## Signal Interpretation
| Stat Card Field | Meaning |
|----------------|---------|
| Win Rate (All) | Historical win percentage across all regimes |
| Win Rate (Regime) | Win percentage filtered to the current market regime only |
| Profit Factor | Total wins divided by total losses -- above 1.0 means net positive |
| Quarter Kelly | Suggested position size as a percentage of account, based on Kelly Criterion at 25% safety factor |
| Confidence | HIGH / MEDIUM / LOW based on regime-specific sample count |
| NO EDGE | Negative Kelly value -- setup has negative expected value |
## Settings Guide
| Parameter | Default | Description |
|-----------|---------|-------------|
| RSI Length | 14 | RSI calculation period |
| RSI OB/OS | 70 / 30 | Overbought and oversold thresholds |
| MA Fast / Slow | 20 / 50 | Moving average crossover periods |
| Breakout Length | 20 | N-bar high/low lookback |
| Volume Confirm Mult | 1.2 | Volume must exceed SMA(20) times this value |
| Z-Score Length | 20 | Mean reversion lookback period |
| Z-Score Threshold | 2.0 | Standard deviations from mean to trigger |
| Eval Bars | 10 | Forward bars to measure each signal outcome |
| Min Signals | 10 | Minimum signals before displaying statistics |
| ATR Fast / Slow | 14 / 50 | ATR periods for regime classification |
| Trend Length | 50 | SMA period for trend slope calculation |
## Alerts
- RSI setup triggered
- MA crossover setup triggered
- Breakout setup triggered
- Mean reversion setup triggered
- Any setup triggered (composite)
## Best Used For
- Validating whether a setup actually has an edge on your chosen asset and timeframe before risking capital
- Identifying which market regime favors which setup type
- Data-driven position sizing instead of arbitrary fixed-percentage risk
- Screening multiple assets to find where specific setups consistently perform
- Building conviction (or losing it) with real forward-return statistics
## Academic Foundation
Position sizing is based on the Kelly Criterion (Kelly, 1956), which maximizes the long-term geometric growth rate of a portfolio. The indicator uses Quarter Kelly (25% of full Kelly) to reduce variance, a widely adopted practice in professional trading.
## Disclaimer
This indicator is an analytical tool, not financial advice. Past statistical performance does not guarantee future results. Always apply your own risk management.
Most indicators tell you to buy or sell without evidence. The Edge Analyzer changes that by building a real-time statistical profile for every trading setup it detects -- showing you exactly how that setup has performed historically on this specific asset, timeframe, and market regime. When a setup triggers, you see hard numbers: win rate, profit factor, best and worst outcomes, and a Kelly-derived position size -- not opinions.
## How It Works
- Monitors four setup types simultaneously: RSI Oversold/Overbought, MA Crossover, Breakout (with volume confirmation), and Mean Reversion (Z-score based)
- Each time a setup triggers, the indicator records the bar, price, direction, and current market regime, then measures the forward return after a configurable evaluation window (default: 10 bars)
- Classifies the market into three regimes (Trending, Ranging, Volatile) using ATR ratio analysis and trend slope, allowing you to see whether a setup that works in one regime also works in another
- Computes both all-time and regime-filtered statistics, with automatic fallback to all-regime stats when the current regime has fewer than 5 samples
- Calculates Quarter-Kelly position sizing from the real win rate and reward-to-risk ratio, capped at 25% for safety
## Key Features
- **Four parallel setup detectors** running simultaneously with independent statistics
- **Stat card overlay** showing occurrences, win rate, average return, best/worst, profit factor, and Kelly sizing
- **Regime-conditional analysis** breaking performance into Trending, Ranging, and Volatile environments
- **Confidence rating**: HIGH (15+ regime samples), MEDIUM (5-14), or LOW (fewer than 5)
- **Best setup highlight**: when multiple setups fire on the same bar, the highest win rate setup is prioritized
- Signal arrows plotted directly on the chart for visual reference
## Signal Interpretation
| Stat Card Field | Meaning |
|----------------|---------|
| Win Rate (All) | Historical win percentage across all regimes |
| Win Rate (Regime) | Win percentage filtered to the current market regime only |
| Profit Factor | Total wins divided by total losses -- above 1.0 means net positive |
| Quarter Kelly | Suggested position size as a percentage of account, based on Kelly Criterion at 25% safety factor |
| Confidence | HIGH / MEDIUM / LOW based on regime-specific sample count |
| NO EDGE | Negative Kelly value -- setup has negative expected value |
## Settings Guide
| Parameter | Default | Description |
|-----------|---------|-------------|
| RSI Length | 14 | RSI calculation period |
| RSI OB/OS | 70 / 30 | Overbought and oversold thresholds |
| MA Fast / Slow | 20 / 50 | Moving average crossover periods |
| Breakout Length | 20 | N-bar high/low lookback |
| Volume Confirm Mult | 1.2 | Volume must exceed SMA(20) times this value |
| Z-Score Length | 20 | Mean reversion lookback period |
| Z-Score Threshold | 2.0 | Standard deviations from mean to trigger |
| Eval Bars | 10 | Forward bars to measure each signal outcome |
| Min Signals | 10 | Minimum signals before displaying statistics |
| ATR Fast / Slow | 14 / 50 | ATR periods for regime classification |
| Trend Length | 50 | SMA period for trend slope calculation |
## Alerts
- RSI setup triggered
- MA crossover setup triggered
- Breakout setup triggered
- Mean reversion setup triggered
- Any setup triggered (composite)
## Best Used For
- Validating whether a setup actually has an edge on your chosen asset and timeframe before risking capital
- Identifying which market regime favors which setup type
- Data-driven position sizing instead of arbitrary fixed-percentage risk
- Screening multiple assets to find where specific setups consistently perform
- Building conviction (or losing it) with real forward-return statistics
## Academic Foundation
Position sizing is based on the Kelly Criterion (Kelly, 1956), which maximizes the long-term geometric growth rate of a portfolio. The indicator uses Quarter Kelly (25% of full Kelly) to reduce variance, a widely adopted practice in professional trading.
## Disclaimer
This indicator is an analytical tool, not financial advice. Past statistical performance does not guarantee future results. Always apply your own risk management.
Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.
Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.