Institutional Blackbox for professional investors


Solutions for
Exchanges, brokers and
Professional investors

 

Background

Nordic Crypto Blackbox is a proprietary, rule-based algorithmic tool that auto-generates entry and exit signals in cryptocurrencies. While Nordic Crypto Blackbox has come into existence after thorough model-building and back-testing work, the underlying model components have been part of several profitable currency and futures trading models for over a decade.

Initially, the algorithm behind the Blackbox was designed and honed with the purpose of serving a closed-group of private investors and cryptocurrency enthusiasts. Seeing the powerful results of the trading model behind the Nordic Crypto Blackbox, the model was subsequently decided by these investors to be made available to a much wider audience.

Addressing the common shortcomings of plethora of automated bots currently populating the cryptocurrency space, which largely lack transparency and are mostly based on simple technical indicators, the Nordic Crypto Blackbox brings forth a model that harnesses results and knowledge of over a decade of real market trading. Created by true market specialists with combined multi-decade market experiences, the Nordic Crypto Blackbox stands aside from the crowd by bringing institutional level credibility to the burgeoning crypto space.

Backtest performance

Below back-test results depict the performance of the Nordic Crypto Blackbox signals in 4 of the most traded cryptocurrencies, namely Bitcoin, Ethereum, Litecoin and Ripple; each one traded against USD, with the trading signals dating back to 2013. The position sizes in these have been adjusted according to both the model position size formulation and the available aggregated volume averages at the time. With a success ratio of 56% across 50 trading signals, the average signal has returned an impressive 88% profit and a cumulative return of 748% in the period of 2013-2017, whereby all returns are re-invested from one trading signal to the next.

Proprietary algorithm

Nordic Crypto Blackbox is a proprietary, rule-based algorithmic tool that auto-generates entry and exit signals in cryptocurrencies. The model-based entry signals are created with a formulation that simultaneously gauge number of variables, including delta in price and volatility in relation to time. Essentially, the model seeks to establish a long-positioning in upward trending cryptocurrencies, but will do so only after a number of upward trend-confirmations have been completed.

The feature of the model that ascertains an entry signal only after a number of rigorous trend-confirmations have been satisfied is what sets Nordic Crypto Blackbox truly aside from other algorithms in the cryptocurrency space: By keeping a market participant out of the markets until a strong statistical upside bias has been established, Nordic Crypto Blackbox effectively minimizes the risk of being fooled into false trends. In a market where the volatility levels are incomparably high, the ability to stand aside and ride out the periods with no clear trend formations is of paramount importance for those who prioritize capital preservation.

At this point in time, the Nordic Crypto Blackbox signals are based on daily end-of-day data and generate buy-signals to establish long positions and corresponding sell-signals to exit these already established long positions.

The development work on the Nordic Crypto Blackbox algorithm is done on continuous basis, however, and both intraday trading as well as short-selling signal generations are among the services to be launched in the future.

Track-record from currency markets

The modeling and structuring of Nordic Crypto Blackbox has not simply come about in overnight tinkering. The trading model approach contained withinthe Nordic Crypto Blackbox is incomparable to the simplistic bots using common technical indicators or ‘Buy the dip” type of one-dimensional “algos” that abound in the current market place. The Nordic Crypto Blackbox model, rather, is a culmination of a decade and half of trading with models that have generated positive alpha in currency and futures markets. All of the model components have been put to use in real trading in various front office areas – such internal risk flow management and proprietary trading- and over varying time horizons, ranging from intraday trades to multi-month option structures.

One unifying element in all the model components that have gone into the final formulation of the Nordic Crypto Blackbox algorithm, is that they all benefit from the surge of volatility and return best results during periods of elevated trading ranges. This long-gamma feature of Blackbox that benefits from high volatility levels is extremely well suited to the cryptocurrency markets where volatility levels are far and well above the traditional asset classes.

Positive expectancy

When any of the coins tracked in the model display a negative expectancy value, whereby the expectation for the next trade is a negative one, the algorithm is designed to cease generating of signals in that coin. Expectancy formulation, as expressed in the following formula, is a powerful means of gauging the profitability of any trading model:

E(R) = (Pw x Aw) – (Pl x Al)

Where; E (R) :Expected Return
Pw = Probability of winning
Aw = Average Win
Pl = Probability of losing
Al = Average loss

Position sizer

As is the case with all other components of the Blackbox, the sizing of the positions in the Nordic Crypto Blackbox is also rule based and systematic. In practice, the final position size is determined by three key variables: 1) expected loss per position, which also acts as an initial stop loss order on the long position; 2) the maximum percentage of the portfolio value that is put to risk at any given time and 3) the volume filter, which hinges on the moving average of traded volume available on the cryptocurrency where the signal has been generated. The last variable ascertains that at no time are the positions taken too large in relative terms to the available liquidity.

Signals

The Nordic Crypto Blackbox can be set-up to automatically to send notifications and trade. Currently, there are 3 levels of connectivity, by which signals are delivered: SMS, eMails and API trading with selected exchanges.

 

Backtest trading log

Below trading log is a trade by trade record of the fully automated backtest using above model.

Backtest trading log
Crypto Entry date Exit date Days Bought price Sold price P&L
BTC 2013-Oct-13 2013-Dec-06 54 138,13 829,45 500%
LTC 2013-Oct-30 2013-Dec-07 38 2,29 23,29 917%
XRP 2013-Nov-06 2013-Nov-19 13 0,007776 0,006045227 -22%
BTC 2014-Jan-05 2014-Jan-24 19 933,53 797,07 -15%
BTC 2014-May-20 2014-Jun-12 23 485,72 586,95 21%
BTC 2014-Jul-01 2014-Jul-24 23 640,81 601,73 -6%
LTC 2014-Nov-13 2014-Nov-21 8 4,1 3,5 -15%
XRP 2014-Nov-13 2015-Jan-03 51 0,005035 0,022106 339%
BTC 2015-May-03 2015-May-31 28 240,36 230,19 -4%
LTC 2015-May-22 2015-May-31 9 1,83 1,64 -10%
XRP 2015-May-29 2015-Jul-05 37 0,009056 0,010022 11%
LTC 2015-Jun-14 2015-Aug-06 53 2 4,06 103%
BTC 2015-Jun-16 2015-Aug-06 51 250,9 278,58 11%
BTC 2015-Sep-08 2015-Sep-13 5 243,61 230,51 -5%
XRP 2015-Sep-11 2015-Sep-23 12 0,008444 0,006668 -21%
LTC 2015-Sep-28 2015-Oct-18 20 3,07 3,02 -2%
BTC 2015-Oct-06 2015-Dec-26 81 246,06 417,27 70%
ETH 2015-Oct-27 2015-Dec-02 36 0,869641 0,82121 -6%
LTC 2015-Oct-29 2015-Nov-11 13 3,78 2,97 -21%
XRP 2015-Dec-05 2015-Dec-20 15 0,005301 0,006235 18%
ETH 2015-Dec-11 2015-Dec-23 12 0,929762 0,858077 -8%
XRP 2016-Jan-27 2016-Mar-06 39 0,006506 0,00786 21%
BTC 2016-Feb-14 2016-Mar-04 19 407,23 410,94 1%
LTC 2016-Feb-15 2016-Mar-04 18 3,18 3,25 2%
LTC 2016-Mar-27 2016-Jun-22 87 3,3 3,91 18%
BTC 2016-Apr-15 2016-May-19 34 429,71 438,72 2%
BTC 2016-May-26 2016-Jun-22 27 453,38 596,12 31%
ETH 2016-Jul-22 2016-Aug-02 11 14,66 9,852362125 -33%
XRP 2016-Aug-05 2016-Aug-27 22 0,006447 0,005975 -7%
ETH 2016-Sep-01 2016-Oct-06 35 11,99 12,85 7%
BTC 2016-Sep-04 2016-Sep-21 17 608,63 597,15 -2%
XRP 2016-Sep-15 2016-Oct-05 20 0,008303 0,007435 -10%
BTC 2016-Oct-07 2016-Oct-19 12 617,12 630,52 2%
BTC 2016-Oct-22 2017-Jan-06 76 657,29 902,2 37%
LTC 2016-Oct-27 2016-Nov-03 7 4,02 3,86 -4%
LTC 2016-Dec-23 2017-Jan-05 13 4,66 4,29 -8%
ETH 2017-Jan-03 2017-Apr-03 90 9,73 44,36 356%
BTC 2017-Feb-01 2017-Feb-10 9 989,02 988,67 0%
LTC 2017-Feb-01 2017-Feb-09 8 4,08 3,8 -7%
LTC 2017-Mar-02 2017-Jul-15 135 3,92 38,92 893%
ETH 2017-Apr-26 2017-Jun-26 61 52,72 272,69 417%
XRP 2017-Apr-28 2017-May-27 29 0,044475 0,212549 378%
BTC 2017-Jul-20 2017-Sep-04 46 2817,6 4236,31 50%
ETH 2017-Aug-05 2017-Sep-04 30 256,51 295,17 15%
LTC 2017-Aug-23 2017-Sep-14 22 53,25 42,73027983 -20%
BTC 2017-Sep-30 2017-Nov-11 42 4338,71 6357,6 47%
ETH 2017-Oct-06 2017-Oct-23 17 308,59 279,4287188 -9%
LTC 2017-Oct-12 2017-Dec-28 77 60,11 249,93 316%
XRP 2017-Nov-09 2017-Dec-07 28 0,217488 0,222823 2%
BTC 2017-Nov-25 2017-Dec-22 27 8790,92 13831,8 57%
Average calculations   33     88%

Download full backtest log