Merge pull request 'feat: minute-based triple barrier horizon (#329)' (#334) from feature/issue-329-triple-barrier-minutes into feature/v3-session-policy-stream

Reviewed-on: #334

src/analysis/triple_barrier.py

@@ -5,7 +5,9 @@ Implements first-touch labeling with upper/lower/time barriers.
 
 from __future__ import annotations
 
+import warnings
 from dataclasses import dataclass
+from datetime import datetime, timedelta
 from typing import Literal, Sequence
 
 
@@ -16,9 +18,18 @@ TieBreakMode = Literal["stop_first", "take_first"]
 class TripleBarrierSpec:
     take_profit_pct: float
     stop_loss_pct: float
-    max_holding_bars: int
+    max_holding_bars: int | None = None
+    max_holding_minutes: int | None = None
     tie_break: TieBreakMode = "stop_first"
 
+    def __post_init__(self) -> None:
+        if self.max_holding_minutes is None and self.max_holding_bars is None:
+            raise ValueError("one of max_holding_minutes or max_holding_bars must be set")
+        if self.max_holding_minutes is not None and self.max_holding_minutes <= 0:
+            raise ValueError("max_holding_minutes must be positive")
+        if self.max_holding_bars is not None and self.max_holding_bars <= 0:
+            raise ValueError("max_holding_bars must be positive")
+
 
 @dataclass(frozen=True)
 class TripleBarrierLabel:
@@ -35,6 +46,7 @@ def label_with_triple_barrier(
     highs: Sequence[float],
     lows: Sequence[float],
     closes: Sequence[float],
+    timestamps: Sequence[datetime] | None = None,
     entry_index: int,
     side: int,
     spec: TripleBarrierSpec,
@@ -53,8 +65,6 @@ def label_with_triple_barrier(
         raise ValueError("highs, lows, closes lengths must match")
     if entry_index < 0 or entry_index >= len(closes):
         raise IndexError("entry_index out of range")
-    if spec.max_holding_bars <= 0:
-        raise ValueError("max_holding_bars must be positive")
 
     entry_price = float(closes[entry_index])
     if entry_price <= 0:
@@ -68,13 +78,31 @@ def label_with_triple_barrier(
         upper = entry_price * (1.0 + spec.stop_loss_pct)
         lower = entry_price * (1.0 - spec.take_profit_pct)
 
-    last_index = min(len(closes) - 1, entry_index + spec.max_holding_bars)
+    if spec.max_holding_minutes is not None:
+        if timestamps is None:
+            raise ValueError("timestamps are required when max_holding_minutes is set")
+        if len(timestamps) != len(closes):
+            raise ValueError("timestamps length must match OHLC lengths")
+        expiry_timestamp = timestamps[entry_index] + timedelta(minutes=spec.max_holding_minutes)
+        last_index = entry_index
+        for idx in range(entry_index + 1, len(closes)):
+            if timestamps[idx] > expiry_timestamp:
+                break
+            last_index = idx
+    else:
+        assert spec.max_holding_bars is not None
+        warnings.warn(
+            "TripleBarrierSpec.max_holding_bars is deprecated; use max_holding_minutes with timestamps instead.",
+            DeprecationWarning,
+            stacklevel=2,
+        )
+        last_index = min(len(closes) - 1, entry_index + spec.max_holding_bars)
     for idx in range(entry_index + 1, last_index + 1):
-        h = float(highs[idx])
+        high_price = float(highs[idx])
-        l = float(lows[idx])
+        low_price = float(lows[idx])
 
-        up_touch = h >= upper
+        up_touch = high_price >= upper
-        down_touch = l <= lower
+        down_touch = low_price <= lower
         if not up_touch and not down_touch:
             continue
 

tests/test_triple_barrier.py

@@ -1,5 +1,9 @@
 from __future__ import annotations
 
+from datetime import UTC, datetime, timedelta
+
+import pytest
+
 from src.analysis.triple_barrier import TripleBarrierSpec, label_with_triple_barrier
 
 
@@ -129,3 +133,52 @@ def test_short_tie_break_modes() -> None:
     )
     assert out_take.label == 1
     assert out_take.touched == "take_profit"
+
+
+def test_minutes_time_barrier_consistent_across_sampling() -> None:
+    base = datetime(2026, 2, 28, 9, 0, tzinfo=UTC)
+    highs = [100.0, 100.5, 100.6, 100.4]
+    lows = [100.0, 99.6, 99.4, 99.5]
+    closes = [100.0, 100.1, 100.0, 100.0]
+    spec = TripleBarrierSpec(
+        take_profit_pct=0.02,
+        stop_loss_pct=0.02,
+        max_holding_minutes=5,
+    )
+
+    out_1m = label_with_triple_barrier(
+        highs=highs,
+        lows=lows,
+        closes=closes,
+        timestamps=[base + timedelta(minutes=i) for i in range(4)],
+        entry_index=0,
+        side=1,
+        spec=spec,
+    )
+    out_5m = label_with_triple_barrier(
+        highs=highs,
+        lows=lows,
+        closes=closes,
+        timestamps=[base + timedelta(minutes=5 * i) for i in range(4)],
+        entry_index=0,
+        side=1,
+        spec=spec,
+    )
+    assert out_1m.touch_bar == 3
+    assert out_5m.touch_bar == 1
+
+
+def test_bars_mode_emits_deprecation_warning() -> None:
+    highs = [100, 101, 103]
+    lows = [100, 99.6, 100]
+    closes = [100, 100, 102]
+    spec = TripleBarrierSpec(take_profit_pct=0.02, stop_loss_pct=0.01, max_holding_bars=3)
+    with pytest.deprecated_call(match="max_holding_bars is deprecated"):
+        label_with_triple_barrier(
+            highs=highs,
+            lows=lows,
+            closes=closes,
+            entry_index=0,
+            side=1,
+            spec=spec,
+        )