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I am currently optimising a trading system over 1 year of data, and
sorting the results by Gross Profit Made.
What I am finding is that 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
averages $2693.33
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
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