I am currently testing and optimising a trading system over 1 year of data, and sorting the results by Gross Profit Made.
What I am finding is that by sorting the results by Gross Profit Made, the system has long periods of small losses then one big gain. Although over a year this provides a good return, drawdowns in the interim are bad - and I am looking for regular cashflow with lower drawdowns rather than the largest gain made over a year. Can anyone think of a way to optimise results for maximal cash-flow each month rather than Gross Profit Made in a year? Is there a mathematical formula I can use? I tried using a average of x bars, but this still doesn't solve the problem, eg: Week 1: -$40 Week 2: -$40 Week 3: $8000 whereas I would like more: Week 1: $900 Week 2: $1500 Week 3: $2000 (this is a very simplified example but illustrates what I am after). Many thanks, Alex
