Ambush Performance Futures

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.

Corona Crisis 2020: Subscribers had been warned multiple times about potentially increased risks of trading between January 28th and April 26th 2020. As most subscribers didn't use the service as usual during this period, every subscriber got two months of Ambush Signals for free. The trades that happened during the corona crisis are shown as flat periods in the performance reports. This makes it easier to evaluate the actual performance of Ambush Signals during regular trading conditions.

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)
Euro6E (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)
Micro E-Mini Russel 2000M2K (GLOBEX)
Micro E-Mini S&P 500MES (GLOBEX)
Henry Hub Natural GasNG (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 - Mini Accounts (10k+)

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

Out[11]:
Symbol Exchange Contracts
Canadian Dollar 6C GLOBEX 1
5 Year US T-Note ZF ECBOT 2
Micro E-Mini S&P 500 MES GLOBEX 3
Overview
Total Profit in USD$100,662
Average Yearly Profit in USD$8,100
Profit Factor 1.40
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 2335
Winning % 53.19
Largest Win Trade in USD$2,092
Largest Loss Trade in USD$-1,789
Average Trade in USD$43
Drawdown Stats
Max Drawdown in USD$-5,433
Max Drawdown Length 166 days
Max Drawdown Date11.08.2009
Longest Flat in Days 248 days
MAR Ratio 1.49


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

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

Out[17]:
Symbol Exchange Contracts
E-Mini S&P 500 ES GLOBEX 1
Henry Hub Natural Gas NG NYMEX 1
Australian Dollar 6A GLOBEX 2
5 Year US T-Note ZF ECBOT 4
Overview
Total Profit in USD$377,506
Average Yearly Profit in USD$30,378
Profit Factor 1.39
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 3670
Winning % 52.45
Largest Win Trade in USD$6,975
Largest Loss Trade in USD$-5,950
Average Trade in USD$103
Drawdown Stats
Max Drawdown in USD$-19,256
Max Drawdown Length 53 days
Max Drawdown Date08.08.2011
Longest Flat in Days 203 days
MAR Ratio 1.58



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.

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Out[22]:
Symbol Exchange Contracts
E-Mini S&P 500 ES GLOBEX 1
Henry Hub Natural Gas NG NYMEX 1
Australian Dollar 6A GLOBEX 2
New Zealand Dollar 6N GLOBEX 2
Dollar Index DX NYBOT 2
5 Year US T-Note ZF ECBOT 4
Overview
Total Profit in USD$519,466
Average Yearly Profit in USD$41,801
Profit Factor 1.37
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 5523
Winning % 53.14
Largest Win Trade in USD$6,975
Largest Loss Trade in USD$-5,950
Average Trade in USD$94
Drawdown Stats
Max Drawdown in USD$-19,394
Max Drawdown Length 42 days
Max Drawdown Date08.08.2011
Longest Flat in Days 206 days
MAR Ratio 2.16



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[29]:
Symbol Exchange Contracts
E-Mini S&P 500 ES GLOBEX 1
Gold GC NYMEX 1
E-Mini Russel 2000 RTY GLOBEX 2
Euro 6E 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
Dollar Index DX NYBOT 3
5 Year US T-Note ZF ECBOT 6
Overview
Total Profit in USD$1,219,708
Average Yearly Profit in USD$98,149
Profit Factor 1.34
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 9355
Winning % 53.12
Largest Win Trade in USD$10,490
Largest Loss Trade in USD$-8,090
Average Trade in USD$130
Drawdown Stats
Max Drawdown in USD$-40,482
Max Drawdown Length 54 days
Max Drawdown Date23.11.2016
Longest Flat in Days 238 days
MAR Ratio 2.42



Individual Performance Reports

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

Overview
Total Profit in USD$71,360
Average Yearly Profit in USD$5,742
Profit Factor 1.36
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 1254
Winning % 53.43
Largest Win Trade in USD$2,510
Largest Loss Trade in USD$-2,480
Average Trade in USD$57
Drawdown Stats
Max Drawdown in USD$-11,320
Max Drawdown Length 579 days
Max Drawdown Date30.11.2011
Longest Flat in Days 764 days
MAR Ratio 0.51


Overview
Total Profit in USD$52,575
Average Yearly Profit in USD$4,231
Profit Factor 1.39
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 1095
Winning % 53.79
Largest Win Trade in USD$1,945
Largest Loss Trade in USD$-1,680
Average Trade in USD$48
Drawdown Stats
Max Drawdown in USD$-4,475
Max Drawdown Length 95 days
Max Drawdown Date29.05.2009
Longest Flat in Days 671 days
MAR Ratio 0.95


Overview
Total Profit in USD$52,694
Average Yearly Profit in USD$4,240
Profit Factor 1.20
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 1010
Winning % 53.37
Largest Win Trade in USD$3,288
Largest Loss Trade in USD$-3,538
Average Trade in USD$52
Drawdown Stats
Max Drawdown in USD$-9,131
Max Drawdown Length 274 days
Max Drawdown Date11.09.2015
Longest Flat in Days 1007 days
MAR Ratio 0.46


Overview
Total Profit in USD$39,070
Average Yearly Profit in USD$3,144
Profit Factor 1.37
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 837
Winning % 53.88
Largest Win Trade in USD$2,240
Largest Loss Trade in USD$-1,680
Average Trade in USD$47
Drawdown Stats
Max Drawdown in USD$-4,930
Max Drawdown Length 216 days
Max Drawdown Date19.05.2010
Longest Flat in Days 377 days
MAR Ratio 0.64


Overview
Total Profit in USD$31,910
Average Yearly Profit in USD$2,568
Profit Factor 1.27
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 1016
Winning % 55.02
Largest Win Trade in USD$1,670
Largest Loss Trade in USD$-1,650
Average Trade in USD$31
Drawdown Stats
Max Drawdown in USD$-8,810
Max Drawdown Length 686 days
Max Drawdown Date17.01.2017
Longest Flat in Days 1399 days
MAR Ratio 0.29


Overview
Total Profit in USD$60,060
Average Yearly Profit in USD$4,833
Profit Factor 1.30
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 499
Winning % 52.30
Largest Win Trade in USD$8,520
Largest Loss Trade in USD$-7,620
Average Trade in USD$120
Drawdown Stats
Max Drawdown in USD$-19,170
Max Drawdown Length 179 days
Max Drawdown Date24.12.2018
Longest Flat in Days 972 days
MAR Ratio 0.25


Overview
Total Profit in USD$59,438
Average Yearly Profit in USD$4,783
Profit Factor 1.36
Total Commission in USD$0
Total Slippage in USD$0
Trade Stats
Total Number Of Trades 671
Winning % 51.27
Largest Win Trade in USD$6,975
Largest Loss Trade in USD$-5,950
Average Trade in USD$89
Drawdown Stats
Max Drawdown in USD$-13,562
Max Drawdown Length 46 days
Max Drawdown Date09.11.2020
Longest Flat in Days 518 days
MAR Ratio 0.35


Overview
Total Profit in EUR€33,830
Average Yearly Profit in EUR€2,722
Profit Factor 1.28
Total Commission in EUR€0
Total Slippage in EUR€0
Trade Stats
Total Number Of Trades 1214
Winning % 54.04
Largest Win Trade in EUR€1,370
Largest Loss Trade in EUR€-1,250
Average Trade in EUR€28
Drawdown Stats
Max Drawdown in EUR€-5,600
Max Drawdown Length 51 days
Max Drawdown Date27.08.2015
Longest Flat in Days 621 days
MAR Ratio 0.49