Ambush/Stealth Combo Futures Performance ¶
Welcome to the Performance Report of the Ambush/Stealth Combo. The purpose of this page is to give you an idea of how this Combo is best traded, and to show you the potential of combining two trading methods in a diversified portfolio of markets.
To give you meaningful results, we’ve chosen a well-diversified portfolio of markets for both Ambush and Stealth. Ambush is a counter-trend method that captures short-term counter-trend moves, and Stealth does the opposite by looking for breakouts which capture strong short- to medium-term trends. We’re not suggesting the same markets for both methods because there are markets with a strong tendency to trend, like Sugar and Platinum, and there are markets with strong tendencies to short-term mean-reversion like Gas and Oil.
The number of contracts used for the simulation for each market is adjusted to their average daily range of the last six years. For example, the E-Mini S&P 500 (ES) moved about $1000 each day, while Natural Gas (NG) moved almost $2000 a day. We included twice the number of contracts for ES than for NG. As the baseline we used two contracts so that we could scale out of trades with the Stealth Trading Method. Please understand that the markets do not always stay the same over the years. We will add and remove markets from the list above, depending on market-conditions within the specific trades.
One more thing you'll notice is that we’ve used more than twice the number of markets for Stealth than for Ambush. The reason for this is that we wanted to get about the same number of trades for both methods per year. In general, Ambush trades significantly more often than Stealth, so to normalize the results we’ve reduced the number of markets for Ambush significantly. You can find a list of all markets for Ambush on the Ambush page and for Stealth on the Stealth page.
So let’s quickly have a look at what markets we selected for each method before we move on to the actual trading results!
Ambush Symbols¶
(Ambush All Stars Portfolio for Large Accounts, see http://algostrats.com/ambush_performance.html for more info)
Stealth Symbols¶
Stealth & Ambush Combo Performance¶
Here's the performance of trading both methods with the specified markets, including trading costs of $5 round turn commissions and 1/2 tick slippage for each market/stop-market order.
Comparison¶
Here's a graph that shows you how each of the methods would have performed separately compared with how the Combo performs. The important thing to notice is not only the higher performance, but much more importantly, the reduction of drawdowns while trading both methods.
Looking at the MAR ratio (Average yearly profit in USD divided by the maximum drawdown), it almost doubles when trading the Combo, compared with trading only Stealth or Ambush!
Example: Equity Crash in August 2015¶
On this graph, we want to demonstrate how both methods can help each other during difficult times. In August 2015, when the stock indices and many correlated markets were crashing to the down-side due to bad news from Asia, Ambush was under significant pressure. Thanks to the good performance of Stealth during the crash, the Combo performed well. Then, a month later, most of the losses had been almost completely recovered!
This Combo is prepared for extreme market conditions, and can help you through them!
Final words¶
We've shown you the power of combining two distinct trading methods. And frankly, from our experience, this is the best way to go if you want to succeed in long-term trading. Trading only one method is almost like trading only one market: if the method performs badly during a period, your equity does also. There's no method that will perform well all the time, since each method depends on certain market conditions. When these market conditions aren't met, the method simply won't make any money. The solution to this is to simultaneously trade multiple methods in multiple markets. This gives you the diversification needed to make it through the various market cycles. The combination of Ambush and Stealth is an excellent choice because of their unique approaches which will enhance your trading performance.