Ambush Update July 2015

Dear Ambush Traders,

It has been a while since my last update in January 2015. Although I had promised some of you that I would ready with this in June, things actually took longer than expected.

The reason for this is that I've been working on a new platform to backtest trade-strategies that now allow me to do much more than what I was able to do before. Doing such updates is one of the things that is much easier to do now. I am now able to show you numbers and graphs that I couldn’t show you before, that you will find very useful for your trading decisions.

One of the main goals of this report is to give you additional useful information that should enable you to independently put together a portfolio of markets. I understand that this has been the most difficult issue for Ambush traders. Having a lot of choices can easily become more of a burden than a blessing!

I apologize for the delay, but I'm confident this detailed report will make up for the waiting time.

Happy Trading,

Marco

A Better Way to Measure Performance

I'd like to start by introducing you to an advanced way of measuring performance. It's nothing new in the world of trading, but has become a standard in the industry for many years. I think the first time it became popular was when Richard Dennis and his turtle traders started to talk about it back in the 80’s. Later on, Van Tharp made it even more popular.

The idea is to measure performance in relation to the expected risk of a trade instead of simply looking at the results in Dollars, or Points/Ticks/Pips, etc. This allows you to normalize the performance of different markets and trading methods to get a better idea of the actual performance.

I will use this for most performance reports from now on. If this concept if new to you, please have a look into "Measuring Performance" (Ambush Menu to the right at http://tradingeducators.com/products/trading-methods/ambush) to learn more about it.

Whenever you see something measured in Rs in this report, this is what it means: 1R = 1 x Daily ATR(5)

Performance Report

First, let's look at the performance of Ambush 2.0 since we started with the new version and parameters in May 2014.

As many of you remember, 2014 was an extraordinary year regarding Ambush performance. It just went up and up throughout the year, with literally almost no drawdowns. Unfortunately, it usually doesn't go on like that forever.

As with any trading method, Ambush will perform better or worse than usual depending on market conditions. Now early 2015 wasn't very Ambush-friendly in many markets, and not as good as usual in others.

A few comments about the following reports: Our purpose is to see how well Ambush did in general in each of the markets, and compare those with each other. To keep things simple, there are no commissions included, no slippage, and no spread in the forex-markets. Also a limit-order is considered filled if price touched the limit price on that day, even if it didn't trade through. Real-world experience shows that if you're trading only a few contracts, you'll get filled more often than not in most of the markets. So I decided to go with that as the default for the following reports, but later on I'll also show you how much of a difference there actually is.

Futures

So far in 2015 we have had mixed results in Futures. By looking at all futures markets, which gives us the best overview, we started this year with a drawdown that lasted until March, after which we got another drawdown from which we are just getting out. While these drawdowns have been much stronger than what we had seen in 2014, they haven't been unusual. And if you compare the drawdown to the performance we achieved since May 2014 within just 6 months (about 90R), a drawdown of just about 30R isn't that bad!

Let’s look more closely at the futures performance of all futures markets (6A, 6B, 6C, 6E, 6M, 6N, DX, EMD, ES, FDAX, FESX, FTI, FTMIB, GC, GOIL, HSI, NG, NQ, RB, TF, Z, ZF, ZN). Not included are any mini-contracts since otherwise we'd double-weight those markets.


Overview
Total Profit in Rs 93.44
Average Yearly Profit in Rs 77.56
Average Monthly Profit in Rs 6.23
Profit Factor 1.28
Trade Stats
Total Number Of Trades 1791
Winning % 54.44
Largest Win Trade in Rs 3.57
Largest Loss Trade in Rs -1.52
Drawdown Stats
Max Drawdown in Rs -30.70
Max Drawdown Length 56 days
Max Drawdown End30.04.2015
Longest Flat in Days 123 days

Now let's put that into perspective including the backtested results of the last 10 years (vertical red line = May 2014):


Overview
Total Profit in Rs 854.18
Average Yearly Profit in Rs 81.14
Average Monthly Profit in Rs 6.73
Profit Factor 1.30
Trade Stats
Total Number Of Trades 15815
Winning % 54.28
Largest Win Trade in Rs 3.57
Largest Loss Trade in Rs -1.55
Drawdown Stats
Max Drawdown in Rs -31.77
Max Drawdown Length 38 days
Max Drawdown End04.08.2011
Longest Flat in Days 230 days

ETFs

ETFs performance doesn't look too good in the short-term, but there are just a few markets here (SPY, XLU, XIV, SDS, SSO) which are highly correlated.

Overview
Total Profit in Rs -0.80
Average Yearly Profit in Rs -0.66
Average Monthly Profit in Rs -0.05
Profit Factor 0.99
Trade Stats
Total Number Of Trades 390
Winning % 48.97
Largest Win Trade in Rs 1.77
Largest Loss Trade in Rs -1.52
Drawdown Stats
Max Drawdown in Rs -15.57
Max Drawdown Length 112 days
Max Drawdown End21.08.2014
Longest Flat in Days 252 days

But looking at the bigger picture (vertical red line = May 2014) it's obvious that nothing too bad happened. Keep in mind that the trade frequency is much lower here than in the futures...

Overview
Total Profit in Rs 175.91
Average Yearly Profit in Rs 16.71
Average Monthly Profit in Rs 1.39
Profit Factor 1.33
Trade Stats
Total Number Of Trades 2952
Winning % 52.57
Largest Win Trade in Rs 4.25
Largest Loss Trade in Rs -1.55
Drawdown Stats
Max Drawdown in Rs -18.74
Max Drawdown Length 211 days
Max Drawdown End04.02.2010
Longest Flat in Days 409 days

Spot Forex

The currency markets have suffered the most this year. We'll also see this later on looking at the market details. The reason is probably because the euro-crisis strongly impacted the market moves. This can be a big issue in these markets since they're usually highly correlated.