Triple-barrier labels

mediumMLacceptance —~30 min

Implement triple_barrier(closes, i, up, down, horizon) — the triple-barrier label for the bar at index i. Walk forward through bars i+1 .. i+horizon (never past the end of the series): return 1 the first time a close is at or above closes[i]·(1 + up), -1 the first time a close is at or below closes[i]·(1 - down), and 0 if neither barrier is touched before the horizon runs out.

This is how de Prado labels a bar for a classifier: the profit-taking barrier, the stop-loss barrier and the vertical time barrier. The workbench's triple-barrier model is trained on exactly these labels. If both barriers are touched on the same bar, the stop wins.

example 1

input

closes=[100.0, 101.0, 103.0, 106.0, 104.0], i=0, up=0.05, down=0.03, horizon=5

output

example 2

input

closes=[100.0, 101.0, 102.0, 101.5, 103.0, 106.0], i=0, up=0.05, down=0.03, horizon=3

output

note

The profit barrier is only touched on bar 5 — after the 3-bar horizon.

constraints

0 ≤ i < len(closes) ≤ 10_000
0 < up, down ≤ 1
1 ≤ horizon ≤ 60

teacher · 3 hints · the first is free

↗ read the theory

the chapter this problem is cut from

▶ open in the workbench

run the same math on a real tape

●solution.py· utf-8 · spaces:4

def triple_barrier(closes: list, i: int, up: float, down: float, horizon: int) -> int:
    """1 = profit barrier first, -1 = stop first, 0 = neither within the horizon."""
    top = closes[i] * (1 + up)
    bottom = closes[i] * (1 - down)
    # TODO: the vertical barrier — stop walking at i + horizon, not at the end of the series
    end = len(closes) - 1
    for j in range(i + 1, end + 1):
        if closes[j] <= bottom:
            return -1
        if closes[j] >= top:
            return 1
    return 0

ln 1, col 1tab indent · esc leave editor

python 3.13 · pyodide

+ 6 hidden on submit

input · keyword arguments to triple_barrier()

closes=[100.0, 101.0, 103.0, 106.0, 104.0], i=0, up=0.05, down=0.03, horizon=5

expected

the judge calls triple_barrier() with exactly these inputs · outputs are compared to 6 decimal places

● standing bypython 3.13 in your browser · pyodide 0.28.3 · judged on the server to 6 dp⌘↵ run · ⌘⇧↵ submit

paper only · educational · not advice