Alex, What you might be looking for is how straight the equity curve is. I have not tried this yet in automatic mode, but when I plot the equity curve I look for the gain and how straight the curve is. As a single number, that would likely be the correlation to a straight line between the start and ending equity values. That way you are not fooled by a single rare event.
Dennis On Jun 4, 2007, at 2:50 PM, dralexchambers wrote: > 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
