Ambush Performance Futures

About

Before you dive into the following graphs and numbers let me give you a few explanations about the reports.

To keep things simple here, no commissions or slippage are included and a limit-order is considered filled if price touched the limit price on that day, even if it didn't trade through. This is the case only in about 2% of all the trades shown and our real-world experience shows that if you're trading only a few contracts you'll get filled much more often than not. Remember we're looking at daily charts here, so the odds of gettings filled at a daily high/low aren't that bad.

Regarding commissions and slippage you can simply substract the commissions you'd pay at your broker from the results. Slippage is not a big issue trading Ambush as it's using limit-orders for all entries and a time based exit for most trades. This allows you to also use a limit order to exit the trades avoiding extensive slippage. This is a huge advantage to entering/exiting with stop-market orders where you often get significant slippage especially in the less liquid markets.

If you have any questions about the performance or Ambush in general, don't hesitate to send me an email.

Happy Trading!

Marco Mayer

List of currently supported markets:

Here's a list of currently supported markets by Ambush.

NameSymbol (Exchange)
Australian Dollar6A (GLOBEX)
Canadian Dollar6C (GLOBEX)
New Zealand Dollar6N (GLOBEX)
Dollar IndexDX (NYBOT)
E-Mini S&P MidCap 400EMD (GLOBEX)
E-Mini S&P 500ES (GLOBEX)
Dow Jones Euro STOXX50FESX (DTB)
Euro Bobl (5 Year Bond)FGBM (DTB)
GoldGC (NYMEX)
Henry Hub Natural GasNG (NYMEX)
NYMEX RBOB Gasoline IndexRB (NYMEX)
E-Mini Russel 2000RTY (GLOBEX)
5 Year US T-NoteZF (ECBOT)
10 Year US T-NoteZN (ECBOT)



Ambush All Stars Portfolios

Of course you can trade Ambush in just one of the markets of your choice listed above. But actually Ambush performs best trading multiple markets. To show you the power of trading multiple markets, we've come up with three sample portfolios for different account sizes.

We call these the "Ambush All Stars" portfolios, baskets of diversified markets that have been performing very well consistently over many years now.

All of these include at least one market out of four sectors: stock indices, interest rates, currencies and commodities.

Now some of the shown futures contracts require higher margin and risk (daily price movement) than other contracts. This is why we didn't simply use the same number of contracts for each of the futures. The ZN (10 Year Notes) is a much smaller contract than the EMD (E-Mini S&P MidCap 400) for example. To keep things simple and comprehensible, we simply took the average daily range (high-low) of each contract over the whole time period shown, converted it to USD to know how much each contract moved on average per day in USD and then adjusted the number of contracts to get about the same daily USD price movement for each market.

Ambush has been around for almost 10 years now. That's a very long time for a trading system. As markets tend to change, I do review Ambush once a year to see if any changes are necessary to adapt to changing market conditions. The last time any significant changes have been required was in July 2015. As you can see on the following equity charts, Ambush kept on performing as expected in "live mode".


Ambush All Stars Portfolio - Small Accounts (25k+)

The smallest portfolio includes only four markets and is a good choice for small accounts still offering a decent level of diversification:

Out[61]:
Symbol Exchange Contracts
E-Mini S&P 500 ES GLOBEX 1
Australian Dollar 6A GLOBEX 1
Henry Hub Natural Gas NG NYMEX 1
10 Year US T-Note ZN ECBOT 2
Overview
Total Profit in USD$247,492
Average Yearly Profit in USD$26,920
Profit Factor 1.43
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 2838
Winning % 52.54
Largest Win Trade in USD$4,938
Largest Loss Trade in USD$-2,531
Average Trade in USD$87
Drawdown Stats
Max Drawdown in USD$-11,440
Max Drawdown Length 56 days
Max Drawdown Date12.05.2009
Longest Flat in Days 231 days
MAR Ratio 2.35



Ambush All Stars Portfolio - Medium Accounts (50k+)

The medium sized portfolio includes six markets and is a good choice for medium to large accounts offering a well diversified mix of markets.

Out[66]:
Symbol Exchange Contracts
E-Mini S&P 500 ES GLOBEX 1
Australian Dollar 6A GLOBEX 1
Henry Hub Natural Gas NG NYMEX 1
10 Year US T-Note ZN ECBOT 2
New Zealand Dollar 6N GLOBEX 2
Dollar Index DX NYBOT 2
Overview
Total Profit in USD$302,622
Average Yearly Profit in USD$32,916
Profit Factor 1.31
Total Commission in USD$60,200
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 4199
Winning % 52.68
Largest Win Trade in USD$4,928
Largest Loss Trade in USD$-3,380
Average Trade in USD$72
Drawdown Stats
Max Drawdown in USD$-16,882
Max Drawdown Length 53 days
Max Drawdown Date22.11.2016
Longest Flat in Days 329 days
MAR Ratio 1.95



Ambush All Stars Portfolio - Large Accounts (100k+)

The large sized portfolio includes six markets and is a good choice for medium to large accounts offering a well diversified mix of markets.

Out[71]:
Symbol Exchange Contracts
E-Mini S&P MidCap 400 EMD GLOBEX 1
Gold GC NYMEX 1
NYMEX RBOB Gasoline Index RB NYMEX 1
E-Mini S&P 500 ES GLOBEX 2
Australian Dollar 6A GLOBEX 2
Henry Hub Natural Gas NG NYMEX 2
Canadian Dollar 6C GLOBEX 3
New Zealand Dollar 6N GLOBEX 3
10 Year US T-Note ZN ECBOT 4
Dollar Index DX NYBOT 4
Overview
Total Profit in USD$1,007,238
Average Yearly Profit in USD$109,557
Profit Factor 1.37
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 6586
Winning % 53.29
Largest Win Trade in USD$9,875
Largest Loss Trade in USD$-8,090
Average Trade in USD$153
Drawdown Stats
Max Drawdown in USD$-42,378
Max Drawdown Length 4 days
Max Drawdown Date23.09.2011
Longest Flat in Days 229 days
MAR Ratio 2.59



Individual Performance Reports

Here you can find the performance of each of the markets trading one contract.

Overview
Total Profit in USD$58,860
Average Yearly Profit in USD$6,402
Profit Factor 1.36
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 948
Winning % 53.69
Largest Win Trade in USD$2,510
Largest Loss Trade in USD$-2,480
Average Trade in USD$62
Drawdown Stats
Max Drawdown in USD$-11,320
Max Drawdown Length 579 days
Max Drawdown Date30.11.2011
Longest Flat in Days 764 days
MAR Ratio 0.57


Overview
Total Profit in USD$44,315
Average Yearly Profit in USD$4,820
Profit Factor 1.40
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 834
Winning % 52.88
Largest Win Trade in USD$1,945
Largest Loss Trade in USD$-1,680
Average Trade in USD$53
Drawdown Stats
Max Drawdown in USD$-4,475
Max Drawdown Length 95 days
Max Drawdown Date29.05.2009
Longest Flat in Days 293 days
MAR Ratio 1.08


Overview
Total Profit in USD$35,860
Average Yearly Profit in USD$3,900
Profit Factor 1.43
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 622
Winning % 53.86
Largest Win Trade in USD$2,240
Largest Loss Trade in USD$-1,680
Average Trade in USD$58
Drawdown Stats
Max Drawdown in USD$-4,930
Max Drawdown Length 216 days
Max Drawdown Date19.05.2010
Longest Flat in Days 377 days
MAR Ratio 0.79


Overview
Total Profit in USD$21,805
Average Yearly Profit in USD$2,372
Profit Factor 1.23
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 739
Winning % 55.07
Largest Win Trade in USD$1,670
Largest Loss Trade in USD$-1,650
Average Trade in USD$30
Drawdown Stats
Max Drawdown in USD$-8,810
Max Drawdown Length 686 days
Max Drawdown Date17.01.2017
Longest Flat in Days 1105 days
MAR Ratio 0.27


Overview
Total Profit in USD$36,090
Average Yearly Profit in USD$3,927
Profit Factor 1.31
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 379
Winning % 53.03
Largest Win Trade in USD$7,020
Largest Loss Trade in USD$-4,190
Average Trade in USD$95
Drawdown Stats
Max Drawdown in USD$-12,270
Max Drawdown Length 239 days
Max Drawdown Date13.01.2016
Longest Flat in Days 972 days
MAR Ratio 0.32


Overview
Total Profit in USD$39,788
Average Yearly Profit in USD$4,328
Profit Factor 1.43
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 511
Winning % 51.66
Largest Win Trade in USD$4,938
Largest Loss Trade in USD$-2,388
Average Trade in USD$78
Drawdown Stats
Max Drawdown in USD$-6,525
Max Drawdown Length 76 days
Max Drawdown Date24.08.2015
Longest Flat in Days 518 days
MAR Ratio 0.66


Overview
Total Profit in EURb,25,980
Average Yearly Profit in EURb,2,827
Profit Factor 1.28
Total Commission in EURb,0
Total Slippage in EURb,0
Trade Stats
Total Number Of Trades 911
Winning % 54.34
Largest Win Trade in EURb,1,370
Largest Loss Trade in EURb,-1,190
Average Trade in EURb,29
Drawdown Stats
Max Drawdown in EURb,-5,600
Max Drawdown Length 51 days
Max Drawdown Date27.08.2015
Longest Flat in Days 621 days
MAR Ratio 0.50


Overview
Total Profit in EURb,9,460
Average Yearly Profit in EURb,1,029
Profit Factor 1.92
Total Commission in EURb,0
Total Slippage in EURb,0
Trade Stats
Total Number Of Trades 186
Winning % 62.37
Largest Win Trade in EURb,960
Largest Loss Trade in EURb,-840
Average Trade in EURb,51
Drawdown Stats
Max Drawdown in EURb,-1,320
Max Drawdown Length 149 days
Max Drawdown Date04.11.2010
Longest Flat in Days 398 days
MAR Ratio 0.78


Overview
Total Profit in USD$77,040
Average Yearly Profit in USD$8,380
Profit Factor 1.38
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 535
Winning % 55.89
Largest Win Trade in USD$7,600
Largest Loss Trade in USD$-8,090
Average Trade in USD$144
Drawdown Stats
Max Drawdown in USD$-20,660
Max Drawdown Length 552 days
Max Drawdown Date15.04.2013
Longest Flat in Days 882 days
MAR Ratio 0.41


Overview
Total Profit in USD$107,720
Average Yearly Profit in USD$11,717
Profit Factor 1.50
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 919
Winning % 51.69
Largest Win Trade in USD$3,720
Largest Loss Trade in USD$-2,490
Average Trade in USD$117
Drawdown Stats
Max Drawdown in USD$-7,220
Max Drawdown Length 21 days
Max Drawdown Date12.05.2009
Longest Flat in Days 251 days
MAR Ratio 1.62