Dutch Algotrading
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INFINITE Nostalgia for Infinity
🕑 Added 2024-10-23 16:00:07 +0000 UTC
Introduction
Hi everybody and welcome to a Patreon Exclusive blog post about a bunch of NFIX trading strategies I recently tested. Most of these were downloadable from multiple Github repositories and I tested them on my backtesting setup. With these tests I can compare the results with those of other strategy tests to see if they really make a difference.
Which versions
The versions I’d like to discuss in this post are the following:
Nostalgia
NostalgiaForInfinityNext
NostalgiaForInfinityNextGen
NostalgiaForInfinityNextV7155
NostalgiaForInfinityV6
Just like the SMA offset strategies, these variations and iterations of the same base NFIX strategy are numerous. It’s highly possible that in the future I will present you with other versions of this algorithm. As long as the results are worth mentioning I will come back to you with these possible future versions.
I will not go into the nitty gritty of the code of these algorithms, since I’ve discussed these a couple of times ago in the past. So if you want do a deeper dive into the inner workings of the NFIX code, then I recommend you to read these articles: https://www.patreon.com/posts/89663923 and https://www.patreon.com/posts/93961037
Besides that, keeping track of all these variations and changes is an almost impossible job and investigation in the inner workings of one of those versions is only recommended if you are really interested in exploiting the algorithm further.
Backtest results
So for now let’s discuss the end results of the versions mentioned above piece by piece.
Nostalgia
All the NFIX variations only work on the 5 minute timeframe and this version is no exception.
Already there is a good result that I can present with this version. An 2870 % profit with 86% win rate . 83% of the pairs I use in the backtest seem to like this trading strategy. Although the maximum drawdown of 25% is high, it still manages to attain high Sharpe, Sortino and Calmar ratios.
The algorithm reveals a steady increase in cumulative wins, showing that the strategy consistently generates profitable trades. Cumulative profit surged during the 2021 bull market but experienced volatility and a dip afterward, stabilizing at a slower pace. Despite this, cumulative losses remained low, indicating good capital preservation. The minimal number of draws suggests the strategy rarely results in indecisive trades. Overall, it performs well in bullish conditions but could benefit from better risk management during market corrections.
Early on, the drawdowns are minimal, remaining below 5% until mid-2021. After the bull market peak, drawdowns increase sharply, reaching over 20%, with the average drawdown sitting at around 9.76%. This indicates that the strategy struggled significantly during market corrections, highlighting the need for improved risk management to prevent such large declines in capital.
The win rate distribution shows a median close to 0.9, indicating a high probability of profitable trades, though some weeks dip as low as 40%. Meanwhile, the profit distribution highlights that most weeks deliver moderate profits, with a few extreme outliers (both positive and negative). While there are strong winning weeks, the presence of large losses suggests that the strategy could benefit from better risk controls to avoid significant drawdowns.
The comparison charts show that the Nostalgia strategy excels in total score and profit percentage, ranking highest among the strategies. However, it falls short in critical metrics like drawdown, and interestingly enough still Sharpe ratio, and Sortino ratio, indicating higher risk relative to returns. Other strategies, such as NFISMOHO_WIP and NASOSv4, outperform Nostalgia in terms of risk-adjusted returns (Sharpe, Sortino), profit factor, and drawdown. This suggests that while Nostalgia is highly profitable, it comes with significantly more volatility and risk than some of the other top strategies.
NostalgiaForInfinityNext
The NostalgiaForInfinityNext chart shows strong cumulative profit growth up until mid-2021, especially during the bull market, where weekly profits (green bars) are frequent and substantial. However, after the bull market peak, cumulative profit stabilizes, and weekly performance becomes more volatile with some losses (red bars) mixed in. Although profits continue, they are smaller and less consistent, indicating the strategy may struggle in less bullish or choppier market conditions. Overall, the strategy performs exceptionally well in a bull market but shows signs of instability during more challenging periods.
One remarkable aspect of these backtest results is the incredibly high win rate of 95.35%, which is highly unusual for most trading strategies. Additionally, the maximum winning streak of 340 trades highlights the strategy's consistency during favorable conditions. However, despite the strong performance, the maximum drawdown of 13.2% indicates that the strategy can still experience significant temporary losses (although not as much as the Nostalgia version), even though it maintains a solid profit factor of 2.08 and a high Calmar ratio of 13.85, showing good risk-adjusted returns.
Initially, drawdowns are minimal, staying below 2% until mid-2021. However, after the peak of the bull market, there are significant increases in drawdown, reaching over 8% at multiple points in 2022. The average drawdown of 2.67% is relatively low overall, but the sharp spikes during bearish or volatile periods highlight that the strategy struggles with risk management when market conditions worsen. This suggests the strategy is vulnerable to larger losses during market corrections or downturns and could benefit from more robust protective measures. In relation to the Nostalgia version it is still better performing.
This chart shows the drawdown analysis of the strategy over time. Initially, drawdowns are minimal, staying below 2% until mid-2021. However, after the peak of the bull market, there are significant increases in drawdown, reaching over 8% at multiple points in 2022. The average drawdown of 2.67% is relatively low overall, but the sharp spikes during bearish or volatile periods highlight that the strategy struggles with risk management when market conditions worsen. This suggests the strategy is vulnerable to larger losses during market corrections or downturns and could benefit from more robust protective measures.
The winrate distribution on the left shows that the strategy performs consistently well, with most weekly win rates hovering around 100%. However, there are a few outliers where the win rate drops significantly, even as low as 40%, indicating some periods of underperformance. The profit distribution on the right reveals that most weekly profits are clustered around modest levels, though there are occasional large profits and losses, as shown by the outliers. While the strategy generally delivers steady returns, these outliers suggest some risk of volatility in profits during certain weeks.
The NostalgiaForInfinityNext strategy outperforms other strategies across several key metrics. It ranks highest in profit factor, pairs with profit percentage, and win percentage, showcasing strong profitability and trade success. However, its drawdown is still relatively high compared to other strategies, indicating greater risk during market downturns. In terms of risk-adjusted returns, it has a lower Sharpe and Sortino ratio, in comparison to some other strategies, like NFISMOHO_WIP, perform better in these areas. While NostalgiaForInfinityNext shines in overall performance and trade execution, it could benefit from improvements in managing drawdowns and reducing risk.
NostalgiaForInfinityNextGen
The backtest results for the Nostalgiaforinfinitynextgen strategy show impressive performance metrics. The win rate is exceptionally high at 93.54%, indicating that most trades are successful. The strategy also has a solid profit factor of 3.08, meaning for every dollar risked, the return is more than triple, which is a strong risk-reward ratio. The maximum drawdown is 10.66%, which is somewhat high but still manageable given the high win rate and profitability. The strategy's Calmar ratio of 4.41 and Sharpe ratio of 3.66 demonstrate strong risk-adjusted returns, meaning the strategy performs well even when accounting for risk. With a total score of 307 and a high percentage of profitable pairs at 91.84%, the strategy shows broad applicability across different assets. Overall, it's a high-performing strategy with strong profitability and risk management, though it could benefit from reducing the drawdown further.
This chart shows a strong cumulative profit growth, especially before mid-2021, where both cumulative wins (green line) and profit (orange line) sharply increase. After the bull market top (yellow line), the growth stabilizes, with fewer significant gains but still positive. The number of cumulative losses (red line) remains low, indicating a high win-to-loss ratio. The flat lines post-2021 suggest the strategy is less effective during more volatile or bearish market conditions but still manages to preserve gains without major losses. Overall, this strategy performs well in bullish markets but slows down in more challenging conditions.
This drawdown chart shows that the NostalgiaForInfinityNextGen strategy maintains relatively low drawdowns throughout the tested period. The average drawdown is 0.64%, which is impressively low, indicating excellent risk management. There are some minor spikes in drawdown, particularly during mid-2021, which coincide with market volatility. However, none of these drawdowns exceed 1.75%, and the strategy quickly recovers. Overall, the strategy demonstrates a strong ability to limit losses, making it a stable option in both bullish and bearish market phases.
The NostalgiaForInfinityNextGen strategy stands out in most performance metrics. It leads in total score, profit percentage, and win percentage, demonstrating its dominance in profitability and successful trades. Its profit factor is also the highest, reflecting efficient risk-return management. In terms of risk, it maintains a lower drawdown compared to competing strategies, indicating better protection during losses. Additionally, its Calmar ratio and Sharpe ratio are competitive, showing strong risk-adjusted returns. However, other strategies, such as NFISMOHO_WIP, show slightly higher scores in CAGR and Sortino ratio, which suggests room for improvement in long-term performance and downside risk management. Overall, this strategy performs exceptionally well across most metrics.
NostalgiaForInfinityNextV7155
The Nostalgiaforinfinitynextv7155 strategy demonstrates a strong performance with a profit percentage of 1169.93% and an impressive win rate of 94.11%, reflecting consistent profitability. The maximum winning streak is 107 trades, and the average win streak is 19, showing excellent trading momentum. The maximum drawdown of 12.1% indicates moderate risk, which is well managed given the Calmar ratio of 11.01 and Sharpe ratio of 5.15, both highlighting solid risk-adjusted returns. The profit factor of 2.39 indicates strong profitability relative to losses. With a CAGR of 1.33, the strategy demonstrates steady long-term growth, making it a well-rounded approach with a balance of risk and reward.
This chart demonstrates strong cumulative performance for the NostalgiaForInfinityNextV7155 strategy. The cumulative wins (green line) show consistent growth, with a steep rise leading up to the 2021 bull market and stabilizing thereafter. The cumulative profit (orange line) mirrors this growth, showing rapid gains before mid-2021 and maintaining a steady increase post-bull market. The cumulative losses (red line) remain minimal, indicating very few losing trades, and there are virtually no draws (blue line). This suggests the strategy consistently generates profitable trades and manages risk effectively, even during more volatile market conditions following the peak in 2021. Overall, this strategy exhibits strong, stable growth with minimal losses.
This drawdown chart for the NostalgiaForInfinityNextV7155 strategy shows relatively low drawdowns for the first half of the period, remaining under 2% until mid-2021. After the bull market peak, the drawdowns become more frequent and severe, reaching above 8% at certain points. The average drawdown of 4.24% indicates that, while the strategy is generally effective at managing risk, it does experience more significant losses in volatile or bearish market conditions. The recovery from these drawdowns, particularly in late 2022, shows that the strategy can bounce back but may benefit from stronger risk management measures during market downturns.
This chart shows the win/loss ratio of the NostalgiaForInfinityNextV7155 strategy over time. The strategy experiences strong win/loss ratios during the 2020 to mid-2021 period, with several weeks reaching ratios above 30, indicating that winning trades significantly outnumber losses. After the 2021 bull market peak, there is a noticeable decline in the win/loss ratio, with more volatility and lower ratios. Despite this, the strategy still produces more winning weeks than losing ones, as indicated by the positive ratio spikes in 2022 and early 2023. Overall, the strategy demonstrates excellent performance during bullish market phases, though it becomes less dominant in post-bull market conditions, while still maintaining a favorable win/loss balance.
The win rate distribution on the left shows that the strategy has a strong and consistent performance, with most weekly win rates clustering between 80% and 100%. However, a few outliers dip below 60%, and one extreme outlier touches 0%, indicating some weeks of underperformance. On the right, the profit distribution shows that while the majority of weekly profits are moderate, there are several outliers where profits exceed 1000, as well as a few weeks with losses exceeding -400. This suggests that while the strategy is generally profitable, there are occasional weeks of significant volatility, both on the upside and downside.
NostalgiaForInfinityV6
The Nostalgiaforinfinityv6 strategy shows strong performance based on these backtest results. It has an impressive profit percentage of 2418.49% and a win rate of 82.37%, meaning that over 80% of trades are successful. With a maximum winning streak of 52 and an average of 8 wins per streak, the strategy consistently delivers profitable trades. The maximum drawdown is 7.12%, which is relatively low, indicating good risk management. The Calmar ratio of 27.07 and Sharpe ratio of 8.34 both suggest excellent risk-adjusted returns. Additionally, the profit factor of 2.48 further highlights the strategy's profitability, making it a high-performing option for generating consistent returns with controlled risk.
This chart shows a robust performance for the NostalgiaForInfinityV6 strategy. The cumulative wins (green line) rise sharply, particularly during the 2020 to mid-2021 period, reflecting a significant number of profitable trades. The cumulative profit (orange line) closely mirrors the win trajectory, with a rapid increase during the same period, indicating that the strategy capitalized well on market conditions. After the 2021 bull market peak (yellow line), the profit curve stabilizes but continues to grow steadily. The cumulative losses (red line) remain low and increase at a much slower pace compared to the wins, showing that the strategy avoids frequent or large losses. Overall, this strategy delivers consistent profits with limited downside, making it highly effective, particularly in bullish markets.
This drawdown chart for the NostalgiaForInfinityV6 strategy shows generally low levels of drawdown throughout most of the period. The average drawdown sits at a very modest 1.54%, indicating that losses are well-managed. There are only a few notable spikes, particularly in mid-2021 and again in late 2022, where drawdowns exceed 6%. Despite these occasional peaks, the strategy quickly recovers, and the drawdown levels remain low overall. The chart reflects that the strategy effectively limits significant losses, even during more volatile periods, making it a strong performer in risk management.
The win rate distribution for the NostalgiaForInfinityV6 strategy shows that most weekly win rates are concentrated between 70% and 100%, with a median around 80%, indicating a high probability of profitable trades. There are a few outliers where the win rate drops as low as 0%, but these are rare occurrences. The profit distribution reveals that while most weeks show moderate profits, there are several notable outliers where profits exceed 1000, demonstrating that the strategy can capture large gains during favorable market conditions. A few weeks exhibit losses, but these are generally limited, with only a couple of extreme outliers reaching losses around -1000. Overall, the strategy shows a strong and consistent win rate, with the potential for high profitability in certain weeks.
The NostalgiaForInfinityV6 strategy stands out in many key metrics compared to other top strategies. In terms of profit percentage and win percentage, it performs exceptionally well, showcasing its ability to generate profits and win a high percentage of trades. The drawdown is relatively low compared to other strategies, demonstrating effective risk management. The strategy also excels in risk-adjusted metrics, with top marks in Sortino ratio indicating that it delivers returns efficiently while minimizing risk. It also has the highest profit factor, meaning it generates strong returns relative to losses. Other strategies, like NFISMOHO_WIP, show slightly better CAGR, but overall, NostalgiaForInfinityV6 excels in profitability, risk control, and consistency.
Overall conclusion
Among the various NostalgiaForInfinity strategy variations you've tested and analyzed, the NostalgiaForInfinityV6 strategy appears to have the best potential for future profitable trades. Here's why:
Consistent Profitability: V6 shows an exceptional profit percentage (2418.49%) with a high win rate of 82.37%, which suggests it can deliver consistent profits. Its ability to win more than 80% of trades indicates it has a strong edge in the market.
Risk Management: The drawdown metrics for V6 are well-controlled. With an average drawdown of 1.54% and a maximum drawdown of just 7.12%, it effectively limits losses, even during volatile market conditions. This makes it a safer strategy, especially for long-term deployment.
Risk-Adjusted Returns: V6 outperforms other variations in critical risk-adjusted metrics like Calmar ratio (27.07), Sharpe ratio (8.34), and Sortino ratio (6.23). These figures suggest that V6 delivers strong returns without exposing the portfolio to excessive risk, making it highly efficient.
Profit Factor and Consistency: The profit factor of 2.48 means that for every dollar risked, the strategy earns $2.48. This high ratio highlights the profitability of V6 relative to the losses it incurs. Moreover, the strategy performs well consistently across different market conditions, as indicated by the pairs with profit percentage (87.76%), showing that it works well on a broad range of trading pairs.
Recovery and Resilience: Despite some occasional drawdown spikes, V6 shows the ability to quickly recover, as seen in its rapid recovery post-bull market in late 2021. This resilience is a crucial factor for sustained profitability in the unpredictable cryptocurrency markets.
Why V6 over Other Variants?
While other strategies like V7155 and NextGen show strong profit percentages and win rates, they tend to have higher drawdowns or exhibit more volatility in post-bull market conditions. The V6 variant strikes a better balance between high profitability, strong win rates, and exceptional risk management, making it more resilient across market conditions. Its superior risk-adjusted performance and controlled drawdown make it more likely to sustain profitable trades in the future.
In conclusion, NostalgiaForInfinityV6 has the best overall metrics to continue delivering profitable trades while minimizing risk, positioning it as the most robust strategy for future trading.
So with this analysis I’m at the end of this exclusive post. All the backtest files, the strategy code, plots and other outputs are included as downloadable files in this post. You can use this analysis and these files for your own research and I hope you will have a profitable trading algorithm in hands with one of these NFIX variants.
Please leave any questions or comments below if you have any.
For now this is the end of the blog post and I want to express my gratitude to all you Patrons. Many thanks and I will see you in the nest post.
Goodbye!
